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DescriptiveStatisticsMatrixCrossCovarianceAndMean Method

Calculates mean and population cross-covariance between two vector sets. 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 CrossCovarianceAndMean(
	this Matrix firstData,
	Matrix secondData,
	Vector firstMean,
	Vector secondMean,
	Matrix covariance
)

Parameters

firstData
Type: FinMath.LinearAlgebraMatrix
Reference to first vector set matrix to calculate statistics.
secondData
Type: FinMath.LinearAlgebraMatrix
Reference to second vector set matrix to calculate statistics.
firstMean
Type: FinMath.LinearAlgebraVector
Vector to store means for first data series.
secondMean
Type: FinMath.LinearAlgebraVector
Vector to store means for second data series.
covariance
Type: FinMath.LinearAlgebraMatrix
Matrix to store population cross-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