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covariance matrix

From: baptiste Auguié
Subject: covariance matrix
Date: Mon, 19 Feb 2007 07:49:50 +0000


I was trying to use a Matlab code (SCEM-UA, Monte Carlo optimization), and I ended up correcting for all the incompatibilities I could understand:

- filenames and function names do not seem to be case sensitive in Matlab, whereas Octave would not find a filename with random Upper/ lower case

- more concerning is this one: I have two vectors X and Y of same length, and using cov(X,Y) returns a scalar (same thing with cov (X',Y'))! The program - and myself after reading the documentation, expects a covariance matrix. Is that a bug? I changed this line to cov(X(:),Y(:)), which seems to work, but I would like to know whether this is normal?

Many thanks,


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