线性代数回顾——协方差与逆矩阵

求协方差矩阵

Z = [[1, 2], [3, 6], [4, 2], [5, 2]]
首先用两个变量空间X、Y表示这两个特征
X=[1, 3, 4, 5] Y=[2, 6, 2, 2]

X的均值是3.25 Y的均值是3

所以求协方差矩阵如下
Cov(X, X) = ((1-3.25)²+(3-3.25)²+(4-3.25)²+(5-3.25)²)/(4-1)=2.9147
Cov(X, Y) = ((1-3.25)(2-3)+(3-3.25)(6-3)+(4-3.25)(2-3)+(5-3.25)(2-3))/(4-1)=-0.33
Cov(Y, X) = ((1-3.25)(2-3)+(3-3.25)(6-3)+(4-3.25)(2-3)+(5-3.25)(2-3))/(4-1)=-0.33
Cov(Y, Y) = ((2-3)²+(6-3)²+(2-3)²+(2-3)²)/(4-1)=4

所以 Cov=[[2.9147, -0.33]; [-0.33, 4]]

求逆矩阵

二维可使用公式

三维则按照原理计算