covarMatrix

covarMatrix(X)

X is a matrix.

Return a covariance matrix, where the (i, j) entry is the covariance between the columns i and j of X.

Note:

• For a matrix X without NULL values, the result of covarMatrix(X) is equivalent to cross/pcross(covar, X), but the performance of function covarMatrix is significantly improved.

• For a matrix with NULL values, the results of covarMatrix(X) and cross/pcross(covar, X) are different, because the NULL values are converted to 0 by default in function covarMatrix, but ignored in function covar.

m = rand(10.0, 30)$10:3
covarMatrix(m)

a = rand(1.0, 30000000).reshape(10000:3000)
a.rename!("s" + string(1..3000))

timer covarMatrix(a)
Time elapsed: 2927.264 ms

timer pcross(covar, a)
Time elapsed: 29484.85 ms

Related function: corrMatrix