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:
Statistic | Definition |
---|---|
Means | |
Covariance matrix | |
Correlation matrix |
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).