Details

Given a set X of n feature vectors x 1= (x 11,…,x 1p ), ..., x n = (x n1,…,x np ) of dimension p, the problem is to compute the sample means and variance-covariance matrix or correlation matrix:

Statistic

Definition

Means

M = (m(1), ..., m(p)), where

Variance-covariance matrix

Cov = (v i j ), where

Correlation matrix

Cor = (c i j ), where

For more complete information about compiler optimizations, see our Optimization Notice.
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