getCorrelationMatrix()

Get covariance matrix for given input matrix with shape (n, m). If X and Y are two random variables, with means (expected values) μX and μY and standard deviations σX and σY, respectively, then their covariance is as follow:

covariance = E[(X - μX)(Y - μY)]

Import

import * as datacook from '@pipcook/datacook';
const { getCovarianceMatrix } = datacook.Stat;