19.5 Covariance

Function: double gsl_stats_covariance (const double data1[], const size_t stride1, const double data2[], const size_t stride2, const size_t n)

This function computes the covariance of the datasets data1 and data2 which must both be of the same length n.

covar = (1/(n - 1)) \sum_{i = 1}^{n} (x_i - \Hat x) (y_i - \Hat y)

Function: double gsl_stats_covariance_m (const double data1[], const size_t stride1, const double data2[], const size_t n, const double mean1, const double mean2)

This function computes the covariance of the datasets data1 and data2 using the given values of the means, mean1 and mean2.