R/samp_cov.R

In AndrewElaryan/Lab1Intro: Introduction to Math 4973

#' Sample Covariance
#'
#' @param x a matrix
#'
#' @return xcov the sample covariance
#' @export
#'
#' @examples samp_cov(matrix(1:9,nrow=3))
samp_cov <- function(x) {
  n = nrow(x)
  p = ncol(x)
  xcov <- matrix(0, nr=p, nc=p)
  for(i in 1:p) {
    xibar = samp_mean(x[,i])
    for(k in 1:p) {
      xkbar = samp_mean(x[,k])
      for(j in 1:n) {
        xcov[i,k] <- xcov[i,k] + ((x[j,i]-xibar)*(x[j,k]-xkbar))
      }
      xcov[i,k] <- xcov[i,k] / n
    }
  }
  return(xcov)
}