Nope, it's just not implemented... Clearly it's something we should
have; you're just the first person to ask for it.
something like
def cov(data: DenseMatrix[Double], unbiased: Boolean = false) = {
val m = mean(data, Axis._0)
val cv = DenseMatrix[Double](data.cols,data.cols)
for(i <- 0 until cv.cols) {
cv += data(::, i) * data(::,i).t // do we need to worry about
overflow here?
}
cv /= math.max(data.cols, 1.0)
cv -= m * m.t
if(unbiased && data.cols > 1)
cv *= (data.cols /(data.cols-1.0))
}
? (Didn't test.)
-- David
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