Calculate covariance matrix in Java

Question

I want to compute the covariance matrix using Java.

Is there a free library for computing the covariance matrix in Java?

Answer 1

The Apache Commons Math library can do this.

Answer 2

Here is a quick example of how you can create it using Apache Commons Math (3.5):

RealMatrix mx = MatrixUtils.createRealMatrix(new double[][]{ {1, 2, 3}, {2, 4, 6} }); RealMatrix cov = new Covariance(mx).getCovarianceMatrix(); 

Answer 3

Alternatively, you can use the Effective Java Matrix Library to calculate: https://gist.github.com/nok/73d07cc644a390fad9e9