Dat,
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."
Reference: http://icl.cs.utk.edu/lapack-forum/archives/lapack/
msg00133.html
Julie
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
Lapack@Domain.Removed
http://lists.cs.utk.edu/listinfo/lapack
******************************
Julie Langou; Innovative Computing Laboratory; Computer Science Dept;
University of Tennessee from Denver, Colorado ;-)
julie@Domain.Removed; http://www.cs.utk.edu/~julie/
-------------- next part --------------
An HTML attachment was scrubbed...
URL:
http://lists.cs.utk.edu/private/lapack/attachments/20070927/0ce55f84/attachment.htm
|