getCovarianceMatrix()
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;
Parameters
| Parameter | type | description |
|---|---|---|
| matrix | Tensor | nput data of shape (n, m) |
Returns
covariance matrix with shape (m, m)