Covariance Matrix Calculator

Summary

• Plugin name : Covariance Matrix Calculator
• Version : 0.1
• Author : Thibaut Monseigne
• Company : Inria
• Short description : Calculation of the covariance matrix of the input signal.
• Documentation template generation date : Apr 20 2022

Description

Calculation of the covariance matrix of the input signal. Returns a covariance matrix of size NxN per each input chunk. Where N is the number of channels.

The covariance matrix calculator calculates the covariance matrix of each input chunk. The covariance matrix is a square matrix of size NxN with N the number of channels of the input signal.

Inputs

1. Input Signal

The input signal on which the covariance matrix needs to be calculated.

• Type identifier : Signal (0x5ba36127, 0x195feae1)

Outputs

1. Output Covariance Matrix

Covariance Matrix generated.

• Type identifier : Streamed matrix (0x544a003e, 0x6dcba5f6)

Settings

1. Estimator

Method of calculating the covariance matrix:

Classical Covariance Estimator

Pearson Correlation Estimator

Ledoit and Wolf Estimator

Oracle Approximating Shrinkage (OAS) Estimator

Sample Covariance Matrix (SCM) Estimator

Identity Matrix

• Type identifier : Estimator (0x5261636b, 0x45535449)
• Default value : [ Covariance ]

2. Center Data

Center or not the input data (each channel independently)

• Type identifier : Boolean (0x2cdb2f0b, 0x12f231ea)
• Default value : [ true ]

3. Log Level

Log Level (None to see nothing)

• Type identifier : Log level (0xa88b3667, 0x0871638c)
• Default value : [ Information ]

Examples

Miscellaneous