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[project @ 2005-08-23 18:38:27 by jwe]
author jwe
date Tue, 23 Aug 2005 18:38:28 +0000
parents 4c8a2e4e0717
children 34f96dd5441b
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1 ## Copyright (C) 1995, 1996, 1997 Kurt Hornik
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2 ##
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3 ## This file is part of Octave.
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4 ##
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5 ## Octave is free software; you can redistribute it and/or modify it
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6 ## under the terms of the GNU General Public License as published by
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7 ## the Free Software Foundation; either version 2, or (at your option)
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8 ## any later version.
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9 ##
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10 ## Octave is distributed in the hope that it will be useful, but
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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13 ## General Public License for more details.
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14 ##
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15 ## You should have received a copy of the GNU General Public License
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16 ## along with Octave; see the file COPYING. If not, write to the Free
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17 ## Software Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
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18 ## 02110-1301, USA.
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19
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20 ## -*- texinfo -*-
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21 ## @deftypefn {Function File} {} cov (@var{x}, @var{y})
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22 ## If each row of @var{x} and @var{y} is an observation and each column is
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23 ## a variable, the (@var{i}, @var{j})-th entry of
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24 ## @code{cov (@var{x}, @var{y})} is the covariance between the @var{i}-th
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25 ## variable in @var{x} and the @var{j}-th variable in @var{y}. If called
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26 ## with one argument, compute @code{cov (@var{x}, @var{x})}.
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27 ## @end deftypefn
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28
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29 ## Author: KH <Kurt.Hornik@wu-wien.ac.at>
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30 ## Description: Compute covariances
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31
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32 function c = cov (x, y)
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33
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34 if (nargin < 1 || nargin > 2)
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35 usage ("cov (x, y)");
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36 endif
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37
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38 if (rows (x) == 1)
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39 x = x';
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40 endif
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41 n = rows (x);
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42
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43 if (nargin == 2)
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44 if (rows (y) == 1)
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45 y = y';
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46 endif
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47 if (rows (y) != n)
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48 error ("cov: x and y must have the same number of observations");
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49 endif
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50 x = x - ones (n, 1) * sum (x) / n;
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51 y = y - ones (n, 1) * sum (y) / n;
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52 c = conj (x' * y / (n - 1));
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53 elseif (nargin == 1)
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54 x = x - ones (n, 1) * sum (x) / n;
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55 c = conj (x' * x / (n - 1));
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56 endif
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57
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58 endfunction