fast_cov( X )

Version 1.0.0.0 (587 Bytes) by Joseph Betthauser
fast_cov(X): Covariance calculation 15-35% faster than MATLAB built-in cov() for high-dimensional X
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Updated 15 Nov 2017

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fast_cov(): Covariance calculation 15-35% faster than MATLAB built-in cov() for high-dimensional X
Input X : M x N ( # features x # samples)
Output Xcov : M x M covariance matrix
NOTE: Easy to confirm that output of fast_cov(X) == cov(X')

Cite As

Joseph Betthauser (2026). fast_cov( X ) (https://www.mathworks.com/matlabcentral/fileexchange/65070-fast_cov-x), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2017b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0

Specified that the speed boost is achieved particularly for high-dimensional data. For small data matrices, cov() is faster or equivalent.