如何计算协方差矩阵 [英] How to compute a covariance matrix

问题描述

这个问题似乎令人难以理解...我在将它发布到这里之前先问过google，发现与答案最接近的东西是这样的:

this question seems surprisingly obscure...I asked google before posting it here and the closest thing I found that resemble an answer is this : Covariance matrix computation

但是，从评论中我不确定答案.

However I am not sure of the answer, from the comments.

在C#中正确计算协方差矩阵的最佳方法是什么?

What would be the best way to correctly compute a covariance matrix in C#?

有没有好的免费图书馆?

Any good free library?

谢谢！

推荐答案

我终于找到了 AlgLib库看起来很有希望.

I finally found the AlgLib library which looks promising.

它具有计算协方差矩阵的功能:

It has a function to calculate covariance matrix :

public static void covm(double[,] x, out double[,] c)

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