Computes the covariance matrix of a sequence.
The input sequence. Each column of x represents one vector of observed samples from one variable. Each row of x represents an observation from each variable.
Error conditions that occur before this node runs. The node responds to this input according to standard error behavior.
Default: No error
Covariance matrix of the input sequence.
If x is an n-by-m 2D array, then the covariance matrix is a square m-by-m matrix.
Mean of each column variable in the input sequence.
Error information. The node produces this output according to standard error behavior.
Given m vectors of observed samples where the ith column contains the variate xi, the covariance matrix is defined as:
where is the mean of variate xi.
Each element vij of covariance matrix v is the covariance between variates xi and xj. The diagonal of covariance matrix v contains the standard variances of each xi variate.
mean vector returns the computed mean of each variate as shown by the following equation:
Where This Node Can Run:
Desktop OS: Windows
FPGA: Not supported