[Numpy-discussion] Adding weights to cov and corrcoef (Sebastian Berg)

[Sturla Molden]

Sebastian Berg <sebastian at sipsolutions.net> wrote:

> I am right now a bit unsure about whether or not the "weights" would be
> "aweights" or different... R seems to not care about the scale of the
> weights which seems a bit odd to me for an unbiased estimator? I always
> assumed that we can do the statistics behind using the ddof... But even
> if we can figure out the right way, what I am doubting a bit is that if
> we add weights, their names should be clear enough to not clash with
> possibly different kind of (interesting) weights in other functions.

http://en.wikipedia.org/wiki/Weighted_arithmetic_mean#Weighted_sample_covariance