How to compute a covariance matrix

this question seems surprisingly obscure...I asked google before posting it here and the closest thing I found that resemble an answer is this : Covariance matrix computation

Howev开发者_如何转开发er I am not sure of the answer, from the comments.

What would be the best way to correctly compute a covariance matrix in C#?

Any good free library?

Thanks!

I finally found the AlgLib library which looks promising.

It has a function to calculate covariance matrix :

public static void covm(double[,] x, out double[,] c)

You can use EmguCV which C# wrapper for OpenCV library.Something like this

CvInvoke.cvCallcCovarMatrix();