[Numpy-discussion] Combining covariance and correlation coefficient into one numpy.cov call

Mathew S. Madhavacheril mathewsyriac at gmail.com
Wed Oct 26 13:27:50 EDT 2016

Hi all,

I posted a pull request:

which adds a function `numpy.covcorr` that calculates both
the covariance matrix and correlation coefficient with a single
call to `numpy.cov` (which is often an expensive call for large
data-sets). A function `numpy.covtocorr` has also been added
that converts a covariance matrix to a correlation coefficent,
and `numpy.corrcoef` has been modified to call this. The
motivation here is that one often needs the covariance for
subsequent analysis and the correlation coefficient for
visualization, so instead of forcing the user to write their own
code to convert one to the other, we want to allow both to
be obtained from `numpy` as efficiently as possible.

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