## Copyright (C) 1995, 1996, 1997 Kurt Hornik
##
## This file is part of Octave.
##
## Octave is free software; you can redistribute it and/or modify it
## under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
##
## Octave is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
## General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with Octave; see the file COPYING. If not, write to the Free
## Software Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
## 02110-1301, USA.
## -*- texinfo -*-
## @deftypefn {Function File} {} cov (@var{x}, @var{y})
## If each row of @var{x} and @var{y} is an observation and each column is
## a variable, the (@var{i}, @var{j})-th entry of
## @code{cov (@var{x}, @var{y})} is the covariance between the @var{i}-th
## variable in @var{x} and the @var{j}-th variable in @var{y}. If called
## with one argument, compute @code{cov (@var{x}, @var{x})}.
## @end deftypefn
## Author: KH
## Description: Compute covariances
function c = cov (x, y)
if (nargin < 1 || nargin > 2)
print_usage ();
endif
if (rows (x) == 1)
x = x';
endif
n = rows (x);
if (nargin == 2)
if (rows (y) == 1)
y = y';
endif
if (rows (y) != n)
error ("cov: x and y must have the same number of observations");
endif
x = x - ones (n, 1) * (sum (x) / n);
y = y - ones (n, 1) * (sum (y) / n);
c = conj (x' * y / (n - 1));
elseif (nargin == 1)
x = x - ones (n, 1) * sum (x) / n;
c = conj (x' * x / (n - 1));
endif
endfunction
/*
@GROUP
statistics
@SYNTAX
cov(x,y)
cov(x)
@DOC
Calculates the covariance
@EXAMPLES
cov(x,y)
@SEE
std, var, mean
*/