If d is data set and k,l=size(d) cov = d’*d/k-mean(d,1)'*mean(d,1) It is nice formula , But how to compute the cov if any row is weighted by vector w ? Paul

Weighted covariance, how to compute?

programista November 24, 2017, 1:07pm 3

Thx, but i need algebraic formula (to large matrix for this way). Somebody can help ?
Paul

Topic		Replies	Views
Most efficient implementation of covariance matrix Performance statistics , multithreading , nerdsnipe , cov , covariance-matrix	12	834	May 28, 2024
Whats the easiest way to create correlation matrices in Julia? New to Julia question , statistics	5	4156	November 5, 2021
LinearAlgebra: rank General Usage linearalgebra	8	4709	September 6, 2021
Correlation New to Julia statistics	7	3325	November 8, 2017
Covariance from DataFrame or TimeArray New to Julia statistics , dataframes , finance	17	2013	October 24, 2021