dash.math.covariance
Compute the cross covariance between two sets of ensemble deviations
Syntax
Description
Computes the cross covariance between two sets of ensemble deviations. Each ensemble may contain a different number of elements (rows), but the total number of ensemble members (columns) should be the same for the two ensembles.
Input Arguments
Xdev
numeric matrix [N x nMembers]
A set of ensemble deviations
Ydev
numeric matrix [M x nMembers]
A second set of ensemble deviations
unbias
numeric scalar
The coefficient for unbiased estimation
Output Arguments
XYcov
numeric matrix [N x M]
The cross covariance between the two sets of ensemble deviations