Class CovarianceDecomposition
Constructors
constructor
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Parameters
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Default value tolerance: Real = 1e-12
Properties
Private _correlationMatrix
Private _stdDevs
Private _variances
Methods
correlationMatrix
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standardDeviations
- standardDeviations(): Real[]
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Returns Real[]
variances
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Returns Real[]
Covariance decomposition into correlation and variances
Extracts the correlation matrix and the vector of variances out of the input covariance matrix.
Note that only the lower symmetric part of the covariance matrix is used.
The covariance matrix must be symmetric.
cross checked with getCovariance