Compute Covariance Matrix in Java

I want to calculate covari开发者_C百科ance matrix using Java.

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

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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();

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The Apache Commons Math library can do this.

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Alternatively you can use the Efficient Java Matrix Library to calculate it too: https://gist.github.com/nok/73d07cc644a390fad9e9