21.5 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 stride2, 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. This is useful if you have already computed the means of data1 and data2 and want to avoid recomputing them.