Eigen: Is there an inbuilt way to calculate sample covariance

Question

I am using the Eigen library in C++: I am currently calculating the covariance matrix myself as follows:

Eigen::MatrixXd covariance_matrix = Eigen::MatrixXd:         


        

Answer 1

When each row is an observation, you can use the matrix formulation for the sample covariance matrix as shown on wikipedia ( http://en.wikipedia.org/wiki/Sample_mean_and_sample_covariance#Sample_covariance )

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This is fairly easy to write in terms of Eigen matrix multiplications etc. Whether it will be more performant isn't obvious to me, I suspect the optimizer would have to do a really good job (be sure to use at least -O2). It may be worth trying and profiling it.