[Numpy-discussion] Requesting Code Review of weighted covariance ENH
t.b.poole at gmail.com
Mon Aug 4 11:47:50 EDT 2014
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
Could an experienced someone please look over my changes before I submit a
Validation of the formula can be found at
"Exponential smoothing weighted correlations", F. Pozzi, T. Matteo, and T.
Aste, Eur. Phys. J. B. 85, 175 (2012). --- though it is unfortunately
"An Analysis of WinCross, SPSS, and Mentor Procedures for Estimating the
Variance of a Weighted Mean", A. Madansky and H. G. B. Alexander,
for the "effective number of samples".
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