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[Lapack] Does Lapack have covariance functions?

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.
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******************************
Julie Langou; Innovative Computing Laboratory; Computer Science Dept;
University of Tennessee from Denver, Colorado ;-)
julie@Domain.Removed; http://www.cs.utk.edu/~julie/




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