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[project @ 1998-10-29 05:23:08 by jwe]
author jwe
date Thu, 29 Oct 1998 05:23:09 +0000
parents
children 0748b03c3510
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781c930425fd [project @ 1998-10-29 05:23:08 by jwe]
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1 ## Copyright (C) 1995, 1996, 1997 Kurt Hornik
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2 ##
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3 ## This program is free software; you can redistribute it and/or modify
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4 ## it under the terms of the GNU General Public License as published by
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5 ## the Free Software Foundation; either version 2, or (at your option)
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6 ## any later version.
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7 ##
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8 ## This program is distributed in the hope that it will be useful, but
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9 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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11 ## General Public License for more details.
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12 ##
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13 ## You should have received a copy of the GNU General Public License
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14 ## along with this file. If not, write to the Free Software Foundation,
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15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
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16
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17 ## usage: cov (x [, y])
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18 ##
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19 ## The (i,j)-th entry of cov (x, y) is the covariance between the i-th
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20 ## variable in x and the j-th variable in y.
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21 ##
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22 ## For matrices, each row is an observation and each column a variable;
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23 ## vectors are always observations and may be row or column vectors.
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24 ##
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25 ## cov (x) is cov (x, x).
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26
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27 ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at>
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28 ## Description: Compute covariances
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29
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30 function c = cov (x, y)
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31
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32 if (nargin < 1 || nargin > 2)
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33 usage ("cov (x [, y])");
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34 endif
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35
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36 if (rows (x) == 1)
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37 x = x';
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38 endif
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39 n = rows (x);
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40
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41 if (nargin == 2)
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42 if (rows (y) == 1)
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43 y = y';
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44 endif
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45 if (rows (y) != n)
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46 error ("cov: x and y must have the same number of observations.");
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47 endif
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48 x = x - ones (n, 1) * sum (x) / n;
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49 y = y - ones (n, 1) * sum (y) / n;
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50 c = conj (x' * y / (n - 1));
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51 elseif (nargin == 1)
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52 x = x - ones (n, 1) * sum (x) / n;
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53 c = conj (x' * x / (n - 1));
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54 endif
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55
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56 endfunction