Compute Covariance Matrix in Java

Question

I want to calculate covariance matrix using Java.

Is there any free library to compute covariance Matrix in Java?

Answer 1

Here is a short example, how you can create it with Apache Commons Math (3.5):

RealMatrix mx = MatrixUtils.createRealMatrix(new double[][]{
  {1, 2, 3},
  {2, 4, 6}
});
RealMatrix cov = new Covariance(mx).getCovarianceMatrix();