Le 13/05/2010 08:35, Srimal Jayawardena a écrit :
double gsl_stats_covariance (const double data1[], const size_t
stride1, const double data2[], const size_t stride2, const size_t n)
http://www.gnu.org/software/gsl/manual/html_node/Covariance.html
covar = (1/(n - 1)) \sum_{i = 1}^{n} (x_i - \Hat x) (y_i - \Hat y)
Is there any particular reason for dividing with (n-1) instead of just 'n' ?
Whats the reasoning behind this ?
Dividing by (n-1) makes "covar" an *unbiased* estimate of the population
covariance.
This isn't true anymore if you divide by n instead. See, for instance,
http://en.wikipedia.org/wiki/Estimation_of_covariance_matrices
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