How to calculate moving covariance in a matrix?
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Andrea Finocchiaro
on 9 Oct 2015
Commented: Andrea Finocchiaro
on 9 Oct 2015
Hi guys, Hi Guys, I have got a matrix :378x9. I need to calculate the moving covariance with a window size of 120(starting from row one). Can somebody help me please? Thank you very much Andrea
4 Comments
Image Analyst
on 9 Oct 2015
OK, so you're finding out the correlation coefficient between column 1 and col 2, col 1 and col 3, etc. But what do you mean by having a moving window? Do you want to not use the whole column, but just a subset/window of the columns, and then do it again with the window moved down until the whole column has eventually been looked at?
Accepted Answer
the cyclist
on 9 Oct 2015
% Generate some pretend data. Use your real data here.
data = rand(378,9);
[M,N] = size(data);
window = 120;
numberCovarianceMatrices = M - window + 1;
covarianceMatrices = zeros(N,N,numberCovarianceMatrices);
for nc = 1:numberCovarianceMatrices
covarianceMatrices(:,:,nc) = cov(data(nc:(nc+window-1),:));
end
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