LAPACK Archives

[Lapack] Does Lapack have covariance functions?

Please see Sven's answer to a similar question:
"Dear Ken,

I am afraid that LAPACK does not contain a routine to compute the
covariance matrix.  You need to use LAPACK routines to put together a
routine yourself.

If, for example, you have used DGELS to solve the least squares problem
with one right hand side b and m >= n using the QR factorization, then
you need to compute C given by

     C = sigma^2*(R^T R)^(-1),

where sigma is the estimated variance of the residual vector and is
given by the sum of squares of elements (n+1) to m returned in B.  Note
that you can use routine DPOTRI to compute (R^T R)^(-1).

Good luck and best wishes,

Sven Hammarling."



On Sep 26, 2007, at 2:02 PM, Dat Tran wrote:

Hi I am looking for a Matlab alternative to do complex matrix math.
Does lapack have the equivalent Matlab function "cov"?  (covariance)

Thank you for your time.
Lapack mailing list

Julie Langou; Innovative Computing Laboratory; Computer Science Dept;
University of Tennessee from Denver, Colorado ;-)

-------------- next part --------------
An HTML attachment was scrubbed...

<Prev in Thread] Current Thread [Next in Thread>

For additional information you may use the LAPACK/ScaLAPACK Forum.
Or one of the mailing lists, or