COVM

Purpose:

Calculates the covariance matrix of an array.

COVM(a)

An array.

An array.

a = {{1.00, 3.00, 2.20},

{1.10, 4.00, 2.40},

{1.20, 5.00, 2.60}}

b = covm(a)

b == {{0.01, 0.10, 0.02},

{0.10, 1.00, 0.20},

{0.02, 0.20, 0.04}}

c = diag(sqrt(b))

d = colstdev(a)'

c == d

The mean is removed from each column before the covariance is computed. The standard deviations of each column can be calculated by:

diag(sqrt(covm(a)))

See ACOV to compute the auto-covariance of a series.

See XCOV to compute the cross-covariance of two series.