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annotate scripts/statistics/base/cov.m @ 3367:0748b03c3510

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[project @ 1999-11-20 14:52:38 by jwe]
author jwe
date Sat, 20 Nov 1999 14:52:42 +0000
parents 781c930425fd
children f8dde1807dee
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1 ## Copyright (C) 1995, 1996, 1997 Kurt Hornik
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2 ##
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3 ## This program is free software; you can redistribute it and/or modify
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4 ## it under the terms of the GNU General Public License as published by
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5 ## the Free Software Foundation; either version 2, or (at your option)
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6 ## any later version.
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7 ##
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8 ## This program is distributed in the hope that it will be useful, but
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9 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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11 ## General Public License for more details.
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12 ##
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13 ## You should have received a copy of the GNU General Public License
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14 ## along with this file. If not, write to the Free Software Foundation,
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15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
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16
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0748b03c3510 [project @ 1999-11-20 14:52:38 by jwe]
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17 ## -*- texinfo -*-
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18 ## @deftypefn {Function File} {} cov (@var{x}, @var{y})
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19 ## If each row of @var{x} and @var{y} is an observation and each column is
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20 ## a variable, the (@var{i},@var{j})-th entry of
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21 ## @code{cov (@var{x}, @var{y})} is the covariance between the @var{i}-th
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22 ## variable in @var{x} and the @var{j}-th variable in @var{y}. If called
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23 ## with one argument, compute @code{cov (@var{x}, @var{x})}.
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24 ## @end deftypefn
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25
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26 ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at>
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27 ## Description: Compute covariances
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28
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29 function c = cov (x, y)
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30
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31 if (nargin < 1 || nargin > 2)
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32 usage ("cov (x [, y])");
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33 endif
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34
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35 if (rows (x) == 1)
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36 x = x';
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37 endif
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38 n = rows (x);
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39
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40 if (nargin == 2)
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41 if (rows (y) == 1)
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42 y = y';
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43 endif
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44 if (rows (y) != n)
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45 error ("cov: x and y must have the same number of observations.");
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46 endif
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47 x = x - ones (n, 1) * sum (x) / n;
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48 y = y - ones (n, 1) * sum (y) / n;
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49 c = conj (x' * y / (n - 1));
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50 elseif (nargin == 1)
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51 x = x - ones (n, 1) * sum (x) / n;
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52 c = conj (x' * x / (n - 1));
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53 endif
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54
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55 endfunction