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DescriptiveStatisticsMatrixCovarianceAndMean Method

Calculates mean and population covariance for data matrix. Columns corresponds to variables Rows corresponds to observations. http://en.wikipedia.org/wiki/Covariance

Namespace:  FinMath.Statistics
Assembly:  FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax
C#
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public static void CovarianceAndMean(
	this Matrix data,
	Vector mean,
	Matrix covariance
)

Parameters

data
Type: FinMath.LinearAlgebraMatrix
Reference to data matrix to calculate statistics.
mean
Type: FinMath.LinearAlgebraVector
Vector to store means.
covariance
Type: FinMath.LinearAlgebraMatrix
Matrix to store covariance.

Usage Note

In Visual Basic and C#, you can call this method as an instance method on any object of type Matrix. When you use instance method syntax to call this method, omit the first parameter. For more information, see Extension Methods (Visual Basic) or Extension Methods (C# Programming Guide).
See Also