covar

covar(fs1, fs2)

Computes the point-wise covariance of fs1 and fs2.

Parameters

• fs1 (Fieldset) – first input fieldset

• fs2 (Fieldset) – second input fieldset

Return type

Fieldset

The result is a single field. With N fields in fs1 and fs2 by denoting the i-th value in the k-th field by \(x_{i}^{k}\) and \(y_{i}^{k}\) respectively, the output values can be written as:

\[z_{i} = \frac {1}{N} \sum_{k}^{N}x_{i}^{k}y_{i}^{k} - \frac {1}{N} \sum_{k}^{N}x_{i}^{k} \frac {1}{N} \sum_{k}^{N}y_{i}^{k}\]

A missing value in either fs1 or fs2 will result in a missing value in the corresponding place in the output.

Note

The following lines are equivalent although the first one is more efficient:

z = covar(x,y)
z = mean(x*y)-mean(x)*mean(y)