covmatrix matlab,matlab cov函数

最新推荐文章于 2023-03-05 10:33:17 发布

转载最新推荐文章于 2023-03-05 10:33:17 发布

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#covmatrix matlab

原理：

cov(x), if x is a vector, returns the variance of x. For matrix input X, where each row is an observation, and each column is a variable, cov(X) is the covariance matrix. diag(cov(X)) is a vector of variances for each column, and sqrt(diag(cov(X))) is a vector of standard deviations. cov(X,Y), where X and Y are matrices with the same number of elements, is equivalent to cov([X(:) Y(:)]).

cov(x) or cov(x,y) normalizes by N – 1, if N > 1, where N is the number of observations. This makes cov(X) the best unbiased estimate of the covariance matrix if the observations are from a normal distribution. For N = 1, cov normalizes by N.

cov(x,1) or cov(x,y,1) normalizes by N and produces the second moment matrix of the observations about their mean. cov(X,Y,0) is the same as cov(X,Y) and cov(X,0) is the same as cov(X).

代码：

clc;

clear all;

OriginMatrix = [2,3,2; 4,5,3; 6,4,2; 4,5,3];

[M,N]=size(OriginMatrix);

MeanArray = mean( OriginMatrix );

MeanMatrix = ones( M, 1 ) * MeanArray;

% 得到每列减去每列均值的的矩阵

OriginSubMean = OriginMatrix - MeanMatrix;

% 计算出相关矩阵

if M == 1

CovMatrixComputed = OriginSubMean' * OriginSubMean / M;