function C = covsvd(A) %COVSVD Variance-Covariance matrix %C = covsvd(A) computes the variance covariance matrix %inv(A'*A) using the SVD of A. % see section 10.7 of the book. %input : Matrix A %output : Matrix C [U,S,V] = svd(A); [m,n] = size(A); [U,S,V] = svd(A); r = 0; for i = 1:n if S(i,i) > 10^(-15) r = r+1; else i = n; end; end; for i = 1:n for j = 1:n sum = 0; for k = 1:r sum = sum + V(i,k) * V(j,k) / (S(k,k) * S(k,k)); end; C(i,j) = sum; end; end; end