COVM

Purpose:

Calculates the covariance matrix of an array.

Syntax:

COVM(a)

a

-

An array.

Returns:

An array.

Example:

a = {{1.00, 3.00, 2.20},

     {1.10, 4.00, 2.40}, 

     {1.20, 5.00, 2.60}} 

 

b = covm(a)

 

b == {{0.01, 0.10, 0.02},

      {0.10, 1.00, 0.20}, 

      {0.02, 0.20, 0.04}} 

 

c = diag(sqrt(b))

d = colstdev(a)'

 

c == d

Remarks:

The mean is removed from each column before the covariance is computed. The standard deviations of each column can be calculated by:

 

diag(sqrt(covm(a)))

 

See ACOV to compute the auto-covariance of a series.

 

See XCOV to compute the cross-covariance of two series.

See Also:

*^ (Matrix Multiply)

ACOV

COLSTDEV

FACOV

FXCOV

XCOV