/**
* Compute a covariance matrix from a matrix whose columns represent
* covariates.
* @param matrix input matrix (must have at least one column and two rows)
* @param biasCorrected determines whether or not covariance estimates are bias-corrected
* @return covariance matrix
* @throws MathIllegalArgumentException if the matrix does not contain sufficient data
*/
protected RealMatrix computeCovarianceMatrix(RealMatrix matrix, bool biasCorrected)
{
int dimension = matrix.getColumnDimension();
Variance variance = new Variance(biasCorrected);
RealMatrix outMatrix = new BlockRealMatrix(dimension, dimension);
for (int i = 0; i < dimension; i++)
{
for (int j = 0; j < i; j++)
{
double cov = covariance(matrix.getColumn(i), matrix.getColumn(j), biasCorrected);
outMatrix.setEntry(i, j, cov);
outMatrix.setEntry(j, i, cov);
}
outMatrix.setEntry(i, i, variance.evaluate(matrix.getColumn(i)));
}
return(outMatrix);
}
