How to plot a covariance matrix on a 2D plot in MATLAB?-CodePudding

In MATLAB there is a function called cov. If I insert a matrix X into cov like this cov(X), then cov will return a square matrix of covariance.

My question is very simple: How can I, with MATLAB, plot that matrix cov(X) onto a 2D plot like this. I can see a lot of covariance matrix plots at Google. But how do they create them?

CodePudding user response：

My best guess is that you're trying to add the principal components to the plot. To do that, you could do something like this.

%% generate data points

S_tru = [2 1; 1 1];
N = 1000;
%% compute mean, covariance, principal components
X = mvnrnd([0,0],S_tru,N);
mu = mean(X);
S = cov(X);
[U,D] = eig(S);

%% specify base points/directions for arrows
base = [mu;mu];
vecs = sqrt(D)*U';
vecs = 2 * vecs;

%% plot
plot(X(:,1),X(:,2), 'r.')
axis equal
hold on
quiver(base(:,1),base(:,2),vecs(:,1),vecs(:,2),'blue','LineWidth',2)

Resulting graph: