covariance_matrix Function

public pure function covariance_matrix(x) result(c)

Computes the covariance matrix $C$ where $C = \left( X^{T} X \right)^{-1}$ and $X$ is computed by design_matrix. Uses an SVD of X, without forming X**T * X. Rank-deficient inputs give the Moore-Penrose covariance; use regression_covariance for rank diagnostics.

See Also

• Wikipedia - Covariance Matrix
• Wikipedia - Linear Regression

Arguments

Type	Intent	Optional	Attributes		Name
real(kind=real64),	intent(in)			::	x(:,:)	An M-by-N matrix containing the formatted independent data matrix $X$ as computed by design_matrix.

Return Value real(kind=real64), allocatable, (:,:)

The N-by-N covariance matrix.