Statistics.Covariance Method ([In] TVec, out double, bool)

Covariance/variance.

Syntax

Visual Basic

public static void Covariance([In] TVec X, out double aResult, bool NormN);

Parameters	Description
[In] TVec X	Defines sample (variable) values (observables). In this case X is treated as row and not (as normally) column vector.
out double aResult	Returns the covariance (in this case equal to variance) for X vector elements. Because in this case X is represented as row vectro, the the result is simply scalar value E(X(T)*X)-E(X(T))E(X) = Var(X).
bool NormN	If true (default value), the result will be normalized with number of observations (N), otherwise it will be normalized with N-1.

The covariance between two real-valued random variables x and y,with expected values E(x)=mu and E(y)=nu is defined as:

where E(x), E(y) are x and y expected values.

For more info about covariance definition and properties check thd following links:

What do you think about this topic? Send feedback!