numl.Math.LinearAlgebra.Matrix.Covariance C# (CSharp) Method

        public static Matrix Covariance(Matrix source, VectorType t = VectorType.Col)
        {
            int length = t == VectorType.Row ? source.Rows : source.Cols;
            Matrix m = new Matrix(length);
            //for (int i = 0; i < length; i++)
            for (int i = 0; i < length; i++)
            {
                //for (int j = i; j < length; j++) // symmetric matrix
                for (int j = i; j < length; j++)
                    m[i, j] = m[j, i] = source[i, t].Covariance(source[j, t]);
            }
            return m;
        }

        /// <summary>Generates.</summary>
        /// <param name="matrix">The matrix.</param>
        public void Generate(Matrix matrix)
        {
            // generate centered matrix
            // (using a copy since centering is in place)
            X = matrix
                    .Copy()
                    .Center(VectorType.Col);

            // compute eigen-decomposition
            // of covariance matrix
            var eigs = X.Covariance().Eigs();
            Eigenvalues = eigs.Item1;
            Eigenvectors = eigs.Item2;
        }