covarSampMatrix

返回 N 个变量的样本协方差矩阵。

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covarSampMatrix

首次引入版本：v23.2.0

返回 N 个变量的样本协方差矩阵。

语法

covarSampMatrix(x1[, x2, ...])

参数

• x1[, x2, ...] — 用于计算样本协方差矩阵的一个或多个参数。(U)Int* 或 Float* 或 Decimal

返回值

返回样本协方差矩阵。Array(Array(Float64))

示例

样本协方差矩阵的基本计算

Query

DROP TABLE IF EXISTS test;
CREATE TABLE test
(
    a UInt32,
    b Float64,
    c Float64,
    d Float64
)
ENGINE = Memory;
INSERT INTO test(a, b, c, d) VALUES (1, 5.6, -4.4, 2.6), (2, -9.6, 3, 3.3), (3, -1.3, -4, 1.2), (4, 5.3, 9.7, 2.3), (5, 4.4, 0.037, 1.222), (6, -8.6, -7.8, 2.1233), (7, 5.1, 9.3, 8.1222), (8, 7.9, -3.6, 9.837), (9, -8.2, 0.62, 8.43555), (10, -3, 7.3, 6.762);

SELECT arrayMap(x -> round(x, 3), arrayJoin(covarSampMatrix(a, b, c, d))) AS covarSampMatrix
FROM test

Response

┌─covarSampMatrix─────────────┐
│ [9.167,-1.956,4.534,7.498]  │
│ [-1.956,45.634,7.206,2.369] │
│ [4.534,7.206,38.011,5.283]  │
│ [7.498,2.369,5.283,11.034]  │
└─────────────────────────────┘