Re: [Numpy-discussion] Weighted Covariance/correlation

2014-09-08 Thread tpoole
Hi all, Any input to this? Last time it generated a fair bit of discussion, which I’ll summarise here. It’s currently possible to calculate a weighted average using np.average, but the corresponding functionality does not exist for (co)variance or corrcoeff calculations. In this case it’s less

[Numpy-discussion] Requesting Code Review of weighted covariance ENH

2014-08-04 Thread tpoole
Hi everyone, I've added the ability to handle weighted data in a covariance calculation, in a similar manner to that already implemented for the calculation of a weighted average. https://github.com/tpoole/numpy/compare/weighted_cov Could an experienced someone please look over my ch