Signal Processing Toolbox

cov

Compute the covariance matrix.

Syntax

c = cov(x)
c = cov(x,y)

Description

cov computes the covariance matrix. If x is a vector, c is a scalar containing the variance. For an array where each row is an observation and each column a variable, cov(X) is the covariance matrix. diag(cov(X)) is a vector of variances for each column, and sqrt(diag(cov(X))) is a vector of standard deviations.

cov(x) is the zeroth lag of the covariance function, that is, the zeroth lag of
xcov(x)/(n-1) packed into a square array.

cov(x,y) where x and y are column vectors of equal length is equivalent to cov([x y])), that is, it concatenates x and y in the row direction before its computation.

cov removes the mean from each column before calculating the results.

The cov function is part of the standard MATLAB language.

Algorithm

[n,p] = size(x);
x = x-ones(n,1)*(sum(x)/n);
y = x'*x/(n-1);

See Also

corrcoef	Correlation coefficient matrix.
mean	Average value (see the MATLAB documentation).
median	Median value (see the MATLAB documentation).
std	Standard deviation (see the MATLAB documentation).
xcorr	Cross-correlation function estimate.
xcov	Cross-covariance function estimate (equal to mean-removed cross-correlation).

corrmtx

cplxpair