covariance Function

public pure function covariance(x, y) result(rst)

Computes the sample covariance of two data sets.

The covariance computed is the sample covariance such that $$q_{jk} = \frac{\Sigma \left( x_{i} - \bar{x} \right) \left( y_{i} - \bar{y} \right)}{n - 1}$$ .

Arguments

Type	Intent	Optional	Attributes		Name
real(kind=real64),	intent(in),		dimension(:)	::	x	The first N-element data set.
real(kind=real64),	intent(in),		dimension(size(x))	::	y	The second N-element data set.

Return Value real(kind=real64)

The covariance.

Contents