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

Stephan Hoyer shoyer at gmail.com
Wed Oct 26 13:46:48 EDT 2016

I wonder if the goals of this addition could be achieved by simply adding
an optional `cov` argument to np.corr, which would provide a pre-computed

Either way, `covcorr` feels like a helper function that could exist in user
code rather than numpy proper.

On Wed, Oct 26, 2016 at 10:27 AM, Mathew S. Madhavacheril <
mathewsyriac at gmail.com> wrote:

> Hi all,
> I posted a pull request:
> https://github.com/numpy/numpy/pull/8211
> 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.
> Best,
> Mathew
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