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mvvacov
分散-共分散行列を計算
呼び出し手順
v=mvvacov(x)
パラメータ
- x
実数または複素数のベクトルまたは行列
説明
この関数は, 独立変数n個のp個の変数の値を指定する 表 x (x はn行p列の数値行列)の分散-共分散の 行列 v を計算します: vの係数(i,j) は, v(i,j)=E(xi-xibar)(xj-xjbar)です. ただし,Eは変数の一次モーメント,xiはi番目の変数, xibarは変数xiの平均です.
例
x=[0.2113249 0.0002211 0.6653811;0.7560439 0.4453586 0.6283918] v=mvvacov(x)
作者
Carlos Klimann
参考文献
Saporta, Gilbert, Probabilites, Analyse des Donnees et Statistique, Editions Technip, Paris, 1990. Mardia, K.V., Kent, J.T. & Bibby, J.M., Multivariate Analysis, Academic Press, 1979.
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