EJML covariance

Question

I have two double arrays as below

double[] x = { 2.5, 0.5, 2.2, 1.9, 3.1, 2.3, 2.0, 1.0, 1.5, 1.1 }; double[] y = { 2.4, 0.7, 2.9, 2.2, 3.0, 2.7, 1.6, 1.1, 1.6, 0.9 }; 

How do you find the covariance between them using the library library of the efficient java-matrix library (EJML) ? Any piece of code is most welcome. Thanks!

Answer 1

Here is one way to do this with SimpleMatrix, but I have not tested the code:

 double[] x = { 2.5, 0.5, 2.2, 1.9, 3.1, 2.3, 2.0, 1.0, 1.5, 1.1 }; double[] y = { 2.4, 0.7, 2.9, 2.2, 3.0, 2.7, 1.6, 1.1, 1.6, 0.9 }; SimpleMatrix a = new SimpleMatrix(x.length,1,true,x); SimpleMatrix b = new SimpleMatrix(x.length,1,true,x); double meanA = a.elementSum()/x.length; double meanB = a.elementSum()/y.length; // X = X - mean(A) CommonOps.add(a.getMatrix(),-meanA); CommonOps.add(b.getMatrix(),-meanB); // compute the covariance double c11 = a.transpose().mult(a).get(0,0)/x.length; double c12 = a.transpose().mult(b).get(0,0)/x.length; double c22 = b.transpose().mult(b).get(0,0)/x.length; SimpleMatrix covariance = new SimpleMatrix(2,2,true,c11,c12,c12,c22);