Computes covariances for pairs of arrays or columns of a matrix.
The constructors that take RealMatrix
or double[][]
arguments generate covariance matrices. The columns of the input matrices are assumed to represent variable values.
The constructor argument biasCorrected
determines whether or not computed covariances are bias-corrected.
Unbiased covariances are given by the formula
cov(X, Y) = Σ[(xi - E(X))(yi - E(Y))] / (n - 1)
where
E(X)
is the mean of
X
and
E(Y)
is the mean of the
Y
values.
Non-bias-corrected estimates use n
in place of n - 1
@since 2.0