numpy.cov以及corrcoef

协方差的定义：
Cov（X，Y）=E[（X-E（X））（Y-E（Y））]

#Estimate a covariance matrix, given data and weights.
给定数据和权重，求解协方差矩阵

# Covariance indicates the level to which two variables vary together. If we examine N-dimensional samples, X = [x_1, x_2, ... x_N]^T, then the covariance matrix element C_{ij} is the covariance of x_i and x_j. The element C_{ii} is the variance of x_i.'''
协方差能衡量两个variables的相似度。

See the notes for an outline of the algorithm.

Parameters: 
m : array_like
#A 1-D or 2-D array containing multiple variables and observations. Each row of m represents a variable, and each column a single observation of all those variables. Also see rowvar below.
作为输入的m必须是一维或者二维的，比如（2，4）就是二维的。默认情况下，每一行代表一个variables，每一列代表一个observation。cov是以variables为单位进行计算的

y : array_like, optional
# An additional set of variables and observations. y has the same form as that of m.
同样是输入

rowvar : bool, optional
# If rowvar is True (default), then each row represents a variable, with observations in the columns. Otherwise, the relationship is transposed: each column represents a variable, while the rows contain observations.
如果rowvar是1（默认），那么每行代表一个variables，每列代表一个observations（样本）；反之则每行是observations，每列是variables


Returns:    
out : ndarray
# The covariance matrix of the variables.
返回协方差矩阵

具体的内容请参考：
https://docs.scipy.org/doc/numpy/reference/generated/numpy.cov.html

但是，cov算出来的协方差矩阵并不是-1-1之间，为了达到这种效果，可以将矩阵做如下处理：

$$C_{ij}=\frac{C_{ij}}{\sqrt{C_{ii}C_{jj}}} \ $$

而corrcoef能做到这种效果，实际上corrcoef就是比cov多了上面这一步而已

具体参考请看
https://docs.scipy.org/doc/numpy/reference/generated/numpy.corrcoef.html