Jesper Larsen wrote:
Hi numpy users,
I have a masked array of dimension (nvariables, nobservations) that contain missing values at arbitrary points. Is it safe to rely on numpy.corrcoeff to calculate the correlation coefficients of a masked array (it seems to give reasonable results)?
No, it isn't. There are several different options for estimating correlations in the face of missing data, none of which are clearly superior to the others. None of them are trivial. None of them are implemented in numpy.