matlab cov函数

最新推荐文章于 2022-07-03 16:05:25 发布

xiaojidan2011

最新推荐文章于 2022-07-03 16:05:25 发布

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本文链接：https://blog.csdn.net/xiaojidan2011/article/details/8138775

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本文介绍了MATLAB中cov函数的使用，包括其计算原理和代码示例。cov函数用于计算向量或矩阵的协方差，对于向量，它返回方差；对于矩阵输入，它返回协方差矩阵。当N大于1时，cov函数按N-1归一化，以提供最佳的无偏估计。同时，文章提到了不同归一化选项的影响，并附上了一张相关的数学公式，帮助读者更好地理解协方差的概念。

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原理：

cov(x), if x is a vector, returns the variance of x. For matrix input X, where each row is an observation, and each column is a variable, cov(X) is the covariance matrix. diag(cov(X)) is a vector of variances for each column, and sqrt(diag(cov(X))) is a vector of standard deviations. cov(X,Y), where X and Y are matrices with the same number of elements, is equivalent to cov([X(:) Y(:)]).

cov(x) or cov(x,y) normalizes by N – 1, if N > 1, where N is the number of observations. This makes cov(X) the best unbiased estimate of the covariance matrix if the observations are from a normal distribution. For N = 1, cov normalizes by N.

cov(x,1) or cov(x,y,1) normalizes by N and produces the second moment matrix of