[Numpy-discussion] Adding fweights and aweights to numpy.corrcoef

Corin Hoad corinhoad at gmail.com
Fri Apr 27 05:44:47 EDT 2018


>
> I seem to recall that there was a discussion on this and it was a lot
>> trickier then expected.
>>
>
> But given that numpy has the weights already for cov, then I don't see
> any additional issues
> whith adding it also to corrcoef.
>

>
corrcoef is just rescaling the cov, so there is nothing special to add
> except that corrcoef hands off the options to cov.
>

This was my understanding. I am currently just using my own copy of
corrcoef which forwards the aweights and fweights arguments directly to
np.cov. Is this the correct approach?

Corin Hoad
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