Covariance Matrix with Respect to the Origin

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Description

Estimates the covariance matrix with respect to the origin.

Usage

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covOrigin(X, location = NULL, na.action = na.fail)

Arguments

X

a numeric data matrix or dataframe.

location

optional location value which serves then as the center instead of the origin.

na.action

a function which indicates what should happen when the data contain 'NA's. Default is to fail.

Details

The covariance matrix S_0 with respect to origin is given for a matrix X with n observations by

S_0=X'X/n.

Value

A matrix.

Author(s)

Klaus Nordhausen

See Also

cov

Examples

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set.seed(654321)
cov.matrix <- matrix(c(3,2,1,2,4,-0.5,1,-0.5,2), ncol=3)
X <- rmvnorm(100,c(0,0,0),cov.matrix)
covOrigin(X)
rm(.Random.seed)