Cov.h

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#ifndef COV_H_
#define COV_H_

#include "VecMat.h"

/** \addtogroup statistics Statistical methods */
/* @{ */

//! Calculate the NxN covariance matrix for a NxM matrix of observations with 0 mean
template <typename UblasMatrix>
UblasMatrix Cov(const UblasMatrix &observations)
{
        const size_t nobservations = observations.size1();
        const size_t nsamples = observations.size2();
        UblasMatrix result(nobservations,nobservations);
        
        for (size_t i = 0; i < nobservations; ++i)
        {
                for (size_t j = 0; j <= i; ++j)
                {
                        result(i,j) = 0;
                        for (size_t k = 0; k < nsamples; ++k)
                        {
                                result(i,j) += observations(i,k) * observations(j,k);
                        }
                        result(j,i) = result(i,j);
                }
        }
        result /= (nsamples-1);
        return result;
}
/* @} */
#endif /*COV_H_*/

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