Does Numpy's covariance function numpy.cov() work for complex data?
4 Jul
2007
4 Jul
'07
2:03 a.m.
Does anyone know if Numpy's covariance calculation function, cov(), which is located in /numpy/lib/function_base.py calculate the covariance matrix of complex data correctly? I.e., does it implement something like , P = cov(X) = 1/(N-1) * \Sum_i ( X[:,i] * transpose(X[:,i].conj()) ) -- Rudolph van der Merwe
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Rudolph van der Merwe