cov (Statistics Toolbox)

Covariance matrix.

Syntax

C = cov(X)
C = cov(x,y)

Description

cov computes the covariance matrix. For a single vector, cov(x) returns a scalar containing the variance. For matrices, where each row is an observation, and each column a variable, cov(X) is the covariance matrix.

The variance function, var(X) is the same as diag(cov(X)).

The standard deviation function, std(X) is equivalent to
sqrt(diag(cov(X))).

cov(x,y), where x and y are column vectors of equal length, gives the same result as cov([x y]).

Algorithm

The algorithm for cov is

[n,p] = size(X);
X = X - ones(n,1) * mean(X);
Y = X'*X/(n-1);