josef.p...@gmail.com
Sent: Thursday, 26 February 2009 11:09 AM
To: Discussion of Numerical Python
Subject: Re: [Numpy-discussion] Question on lstsq and correlation coeff
On Wed, Feb 25, 2009 at 6:21 PM, Anthony Kong
wrote:
> Hi, all,
>
> It is probably a newbie question.
>
> I tryi
Hi, all,
It is probably a newbie question.
I trying to use scipy/numpy in a finanical context. I want to compute
the correlation coeff of two series (returns vs index returns). I tried
two appoarches
Firstly,
from scipy.linalg import lstsq
coeffs,a,b,c = lstsq(matrix, returns) # matrix con
Hi, all,
I am trying out the example here
(http://www.scipy.org/Numpy_Example_List_With_Doc#cov)
>>> from numpy import *
...
>>> T = array([1.3, 4.5, 2.8, 3.9])
>>> P = array([2.7, 8.7, 4.7, 8.2])
>>> cov(T,P)
The answer is supposed to be 3.95416
