Multiplying transposed matrices in mir
jmh530
john.michael.hall at gmail.com
Mon Apr 20 19:12:52 UTC 2020
On Monday, 20 April 2020 at 19:06:53 UTC, p.shkadzko wrote:
> [snip]
> It is. I was trying to calculate the covariance matrix of some
> dataset X which would be XX^T.
Incorrect. The covariance matrix is calculated with matrix
multiplication, not element-wise multiplication. For instance, I
often work with time series data that is TXN where T > N.
Couldn't do a calculation with element-wise multiplication in
that case.
Try using Lubeck's covariance function or checking your results
with the covariance function in other languages.
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