How to Create a Covariance Matrix in R?
Last Updated :
04 Jan, 2022
In this article, we will discuss how to create a Covariance Matrix in the R Programming Language.
Covariance is the statistical measure that depicts the relationship between a pair of random variables that shows how the change in one variable causes changes in another variable. It is a measure of the degree to which two variables are linearly associated.
A covariance matrix is a square matrix that shows the covariance between different variables of a data frame. This helps us in understanding the relationship between different variables in a dataset.
To create a Covariance matrix from a data frame in the R Language, we use the cov() function. The cov() function forms the variance-covariance matrix. It takes the data frame as an argument and returns the covariance matrix as result.
Syntax:
cov( df )
Parameter:
- df: determines the data frame for creating covariance matrix.
A positive value for the covariance matrix indicates that two variables tend to increase or decrease sequentially. A negative value for the covariance matrix indicates that as one variable increases, the second variable tends to decrease.
Example 1: Create Covariance matrix
R
sample_data <- data.frame ( var1 = c (86, 82, 79, 83, 66),
var2 = c (85, 83, 80, 84, 65),
var3 = c (107, 127, 137, 117, 170))
cov ( sample_data )
|
Output:
var1 var2 var3
var1 60.7 63.9 -185.9
var2 63.9 68.3 -192.8
var3 -185.9 -192.8 585.8
Example 2: Create Covariance matrix
R
sample_data <- data.frame ( var1 = rnorm (20,5,23),
var2 = rnorm (20,8,10))
cov ( sample_data )
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Output:
var1 var2
var1 642.00590 -14.66349
var2 -14.66349 88.71560
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