jagiella / Covariance / 0.1.0

Calculates the covariance matrix cov(A) of a input matrix A.

Possible inputs are:
- A
- [A, N]

A is a n-times-d-matrix and N the type of covariance matrix. If N=0 (default), then the output is the unbiased estimate of the covariance matrix normalizing by n-1. If N=1, then the algorithm normalizes by N and produces the second moment matrix of the observations about their mean.