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

Re: [Numpy-discussion] Weighted Covariance/correlation

2014-08-24 Thread Tom Poole
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] Weighted Covariance/correlation

2014-08-15 Thread Sebastian Berg
Hi all, Tom Poole has opened pull request https://github.com/numpy/numpy/pull/4960 to implement weights into np.cov (correlation can be added), somewhat picking up the effort started by Noel Dawe in https://github.com/numpy/numpy/pull/3864. The pull request would currently implement an accuracy t