python协方差矩阵,numpy协方差矩阵

Suppose I have two vectors of length 25, and I want to compute their covariance matrix. I try doing this with numpy.cov, but always end up with a 2x2 matrix.

>>> import numpy as np

>>> x=np.random.normal(size=25)

>>> y=np.random.normal(size=25)

>>> np.cov(x,y)

array([[ 0.77568388, 0.15568432],

[ 0.15568432, 0.73839014]])

Using the rowvar flag doesn't help either - I get exactly the same result.

>>> np.cov(x,y,rowvar=0)

array([[ 0.77568388, 0.15568432],

[ 0.15568432, 0.73839014]])

How can I get the 25x25 covariance matrix?

解决方案

You have two vectors, not 25. The computer I'm on doesn't have python so I can't test this, but try:

z = zip(x,y)

np.cov(z)

Of course.... really what you want is probably more like:

n=100 # number of points in each vector

num_vects=25

vals=[]

for _ in range(num_vects):

vals.append(np.random.normal(size=n))

np.cov(vals)

This takes the covariance (I think/hope) of num_vects 1xn vectors