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Jonathan J Lawlor
2014-11-18 20:14:21 -05:00
parent 14b1ccae5f
commit 893b875678
1 changed files with 5 additions and 0 deletions
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5
covariancematrix.go
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@@ -13,6 +13,11 @@ import (
// algorithm. It requires a registered BLAS engine in gonum/matrix/mat64. // algorithm. It requires a registered BLAS engine in gonum/matrix/mat64.
// //
// The matrix returned will be symmetric, square, and positive-semidefinite. // The matrix returned will be symmetric, square, and positive-semidefinite.
//
// The weights matrix wts should have the same number of rows as the input
// data matrix x. cov should be a square matrix with the same number of
// columns as the input data matrix x, or if it is nil then a new Dense
// matrix will be constructed.
func CovarianceMatrix(cov *mat64.Dense, x, wts mat64.Matrix) *mat64.Dense { func CovarianceMatrix(cov *mat64.Dense, x, wts mat64.Matrix) *mat64.Dense {
// matrix version of the two pass algorithm. This doesn't use // matrix version of the two pass algorithm. This doesn't use