Covariance¶

Computes the covariance of two lists.

$ wo 'Covariance[{1, 2, 3}, {4, 5, 6}]'
1

Given a single vector, returns its variance.

$ wo 'Covariance[{1, 2, 3}]'
1

Given a single matrix, returns the covariance matrix of its columns.

$ wo 'Covariance[{{1, 2}, {3, 4}, {5, 6}}]'
{{4, 4}, {4, 4}}

Symbolic vectors give the closed form (conjugating the second vector).

$ wo 'Covariance[{a, b}, {x, y}]'
((a - b)*(Conjugate[x] - Conjugate[y]))/2