Covariance
Covariance algorithm computes the following set of quantitative dataset characteristics:
- means
- covariance
- correlation
Operation | Computational methods | Programming Interface |
Mathematical formulation
Computing
Given a set 
of 
-dimensional feature vectors 
,
the problem is to compute the sample means or the
covariance matrix or the correlation matrix:
of -dimensional feature vectors ,
the problem is to compute the sample means or the
covariance matrix or the correlation matrix:Statistic | Definition |
|---|---|
Means |  , where  |
Covariance matrix |  , where  ,  ,  |
Correlation matrix |  , where  , , |
Computation method:
dense
The method computes the means or the
variance-covariance matrix or the correlation matrix
Programming Interface
Refer to API Reference: Covariance.
Distributed mode
The algorithm supports distributed execution in SMPD mode (only on GPU).