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Covariance

Covariance[v1, v2]
gives the covariance between lists v1 and v2.
Covariance[m]
gives the covariance matrix for the matrix m.
Covariance[m1, m2]
gives the covariance matrix for the matrices m1 and m2.
  • Covariance[v1, v2] gives the unbiased estimate of the covariance between v1 and v2.
  • The lists v1 and v2 must be the same length.
  • For a matrix m with p columns Covariance[m] is a p×p matrix of the covariances between columns of m.
  • For an n×p matrix m1 and an n×q matrix m2, Covariance[m1, m2] is a p×q matrix of the covariances between columns of m1 and columns of m2.
New in 6