Distance between two covariance matrices {Rfast2}

Distance between two covariance matrices

Description

Distance between two covariance matrices.

Usage

covdist(s1, s2)

Arguments

s1

The firt covariance matrix.

s2

The second covariance matrix.

Details

A metric for covariance matrices is the title of a paper by Forstner and Moonen (2003). The metric is computed for two non-singular covariance matrices.

Value

The distance between the two covariance matrices.

Author(s)

Michail Tsagris.

R implementation and documentation: Michail Tsagris [e-mail].

References

Forstner W. and Moonen B. (2003). A metric for covariance matrices. In Geodesy-The Challenge of the 3rd Millennium, p. 299-309. Springer.

See Also

covlikel, covequal, covar, cor_test

Examples

s1 <- cov(iris[1:50, 1:4])
s2 <- cov(iris[51:100, 1:4])
covdist(s1, s2)