How to compute a covariance matrix

问题

this question seems surprisingly obscure...I asked google before posting it here and the closest thing I found that resemble an answer is this : Covariance matrix computation

However I am not sure of the answer, from the comments.

What would be the best way to correctly compute a covariance matrix in C#?

Any good free library?

Thanks!

回答1:

I finally found the AlgLib library which looks promising.

It has a function to calculate covariance matrix :

public static void covm(double[,] x, out double[,] c)

回答2:

You can use EmguCV which C# wrapper for OpenCV library.Something like this

CvInvoke.cvCallcCovarMatrix();

来源：https://stackoverflow.com/questions/4410943/how-to-compute-a-covariance-matrix