Returns a matrix containing the covariance between  the columns of the current matrix.

Syntax

MatrixObject.CovarianceMatrix

Remarks

The element (i, j) of the covariance matrix is the covariance between column i and j. The covariance matrix is a symmetric matrix.

Error Codes

Error 1321 will be returned if matrix is not yet sized.

Example

The following example demonstrates the use of the CovarianceMatrix Method.

Private Sub MatrixCovarianceMatrix()

Dim M As Matrix, C As Matrix

    Set M = New Matrix
    M.Size 6, 3

    M(0, 0) = 1: M(0, 1) = 0: M(0, 2) = 6
    M(1, 0) = 3: M(1, 1) = 6: M(1, 2) = 8
    M(2, 0) = 4: M(2, 1) = 3: M(2, 2) = 5
    M(3, 0) = 6: M(3, 1) = 5: M(3, 2) = 5
    M(4, 0) = 7: M(4, 1) = 2: M(4, 2) = 1
    M(5, 0) = 9: M(5, 1) = 8: M(5, 2) = 5

    Debug.Print "M="
    Debug.Print M.GetString

    Set C = M.CovarianceMatrix
    Debug.Print "Covariance matrix ="
    Debug.Print C.GetString
    
End Sub

Output

M=
| 1.000 0.000 6.000 |
| 3.000 6.000 8.000 |
| 4.000 3.000 5.000 |
| 6.000 5.000 5.000 |
| 7.000 2.000 1.000 |
| 9.000 8.000 5.000 |

Covariance matrix =
| 7.000 4.333 -3.000 |
| 4.333 7.000 1.667 |
| -3.000 1.667 4.333 |

See Also

ColCovariance Method | CorrelationMatrix Method

Applies To: Matrix | CMatrix