/// <summary>
/// Calculation of covariance matrix and return Matrix type
/// </summary>
/// <param name="Xi">arbitrary number of vectors </param>
/// <returns></returns>
public static double[,] CovMatrix(IList <double[]> Xi)
{
if (Xi == null || Xi.Count < 2)
{
throw new Exception("'data' cannot be null or less than 4 elements!");
}
//
double[,] matrix = new double[Xi.Count, Xi.Count];
//
for (int i = 0; i < Xi.Count; i++)
{
for (int j = 0; j < Xi.Count; j++)
{
if (i > j)
{
matrix[i, j] = matrix[j, i];
}
else if (i == j)
{
matrix[i, j] = VarianceOfS(Xi[i]);
}
else
{
matrix[i, j] = Covariance(Xi[i], Xi[j]);
}
}
}
//inverse matrix
try
{
var covMat = matrix.Invert();
return(covMat);
}
catch
{
return(MatrixEx.Identity(Xi.Count, Xi.Count));
}
}
