covarMatrix

Syntax

covarMatrix(X)

Arguments

X is a matrix.

Details

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.

Examples

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

#0

#1

#2

6.116181845352529

1.107026927999891

1.306707566911273

1.107026927999891

7.162534080771522

-0.758517799304199

1.306707566911273

-0.758517799304199

5.516744365930221

 
$ 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