[Numpy-discussion] corrcoef of masked array

[Robert Kern]

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.

-- 
Robert Kern

"I have come to believe that the whole world is an enigma, a harmless enigma
 that is made terrible by our own mad attempt to interpret it as though it had
 an underlying truth."
  -- Umberto Eco