Given a set X of n feature vectors x1= (x11,…,x1p), ..., xn= (xn1,…,xnp) of dimension p, the problem is to compute the sample means and variance-covariance matrix or correlation matrix:
The correlation and variance-covariance matrices algorithm accepts the input described below. Pass the Input ID as a parameter to the methods that provide input for your algorithm. For more details, see Algorithms.
Online processing computation mode assumes that data arrives in blocks i = 1, 2, 3, … nblocks.
Computation of correlation and variance-covariance matrices in the online processing mode follows the general computation schema for online processing described in Algorithms.
To get the best overall performance when computing correlation or variance-covariance matrices: