CODEWITHSUNDEEP
c#matrixstatisticscovariance
Bruno
Bruno

Reputation: 4655

How to compute a covariance matrix

this question seems surprisingly obscure...I asked google before posting it here and the closest thing I found that resemble an answer is this : Covariance matrix computation

However I am not sure of the answer, from the comments.

What would be the best way to correctly compute a covariance matrix in C#?

Any good free library?

Thanks!

Upvotes: 5

Views: 6097

Answers (2)

Dark Knight
Dark Knight

Reputation: 3577

You can use EmguCV which C# wrapper for OpenCV library.Something like this

CvInvoke.cvCallcCovarMatrix();

Upvotes: 1

Bruno
Bruno

Reputation: 4655

I finally found the AlgLib library which looks promising.

It has a function to calculate covariance matrix :

public static void covm(double[,] x, out double[,] c)

Upvotes: 2

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