Distance between two covariance matrices {Rfast2} | R Documentation |
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 mtsagris@uoc.gr.
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)
[Package Rfast2 version 0.1.5.2 Index]