Method
NumCosmoMathStatsVeccompute_cov_robust_ogk
Declaration [src]
NcmMatrix*
ncm_stats_vec_compute_cov_robust_ogk (
NcmStatsVec* svec
)
Description [src]
Compute the covariance matrix employing the Orthogonalized Gnanadesikan-Kettenring (OGK) method. This method utilizes saved data and incorporates a robust scale estimator for each degree of freedom. The OGK method provides a robust and efficient approach to compute covariance, ensuring reliable estimates even in the presence of outliers or skewed distributions.
Return value
Type: NcmMatrix
A diagonal NcmMatrix $V$ containing the estimated covariance.
| The caller of the method takes ownership of the returned data, and is responsible for freeing it. |