15.5.114 covariance

covariance(x, y [, mode, weights=w], /sample, /population, /keepdims, /double, /omitnans])

By default, this function returns the sample covariance of numerical arrays x and y, which must have the same number of elements.

If mode is a scalar or an array with a size different from that of x, then it indicates the dimension(s) along which covariances are calculated for each combination of the remaining coordinates. In that case, if also /keepdims is specified, then the dimension(s) along which the covariances are calculated are set to 1 in the result. If /keepdims is not set, then such dimensions are omitted from the result, and if only a single number is returned, then it is returned as a scalar.

If mode is an array with the same number of elements as x, then each element of mode identifies the (scalar) class to which each corresponding element of x and y belong, and then a covariance is returned for each class. The first element of the result refers to class 0 (if no class is negative), or to the most negative class.

If weights is specified, then it must be a numerical array with the same dimensions as x and y (or merely the same number of elements, if covariances are calculated by class), and then each of its elements indicates the weight of the corresponding elements of x and y, and then weighted covariances are returned. The weights are copied to a version with the same data type as x for the internal calculations (except that the copy is kept real even if x is complex).

If /population or weights are specified, then population covariances are returned. Otherwise, sample covariances are returned.

If /omitnans is specified, then data elements and weights that are equal to NaN are omitted from the calculations.

Complex numbers are supported.

The result has type double if x or y are double or cdouble, or if /double was specified. Otherwise, the result has type float.

See also: sdev, variance