View source: R/covariance_and_correlation_related_functions.R

Distance between two covariance matrices | R Documentation |

Distance between two covariance matrices.

```
covdist(s1, s2)
```

`s1` |
The firt covariance matrix. |

`s2` |
The second covariance matrix. |

A metric for covariance matrices is the title of a paper by Forstner and Moonen (2003). The metric is computed for two non-singular covariance matrices.

The distance between the two covariance matrices.

Michail Tsagris.

R implementation and documentation: Michail Tsagris mtsagris@uoc.gr.

Forstner W. and Moonen B. (2003). A metric for covariance matrices. In Geodesy-The Challenge of the 3rd Millennium, p. 299-309. Springer.

` covlikel, covequal, covar, cor_test `

```
s1 <- cov(iris[1:50, 1:4])
s2 <- cov(iris[51:100, 1:4])
covdist(s1, s2)
```

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