[Numpy-discussion] Cross-covariance function

[Elliot Saba]

Thank you Sturla, that's exactly what I want.

I'm sorry that I was not able to reply for so long, but Pierre's code is
similar to what I have already implemented, and I am in support of changing
the functionality of cov().  I am unaware of any arguments for a covariance
function that works in this way, except for the fact that the MATLAB cov()
function behaves in the same way. [1]

MATLAB, however, has an xcov() function, which is similar to what we have
been discussing. [2]

Unless you all wish to retain compatibility with MATLAB, I feel that the
behaviour of cov() suggested by Pierre is the most straightforward method,
and that if users wish to calculate the covariance of X concatenated with
Y, then they may simply concatenate the matrices explicitly before passing
into cov(), as this way the default method does not use 75% more CPU time.

Again, if there is an argument for this functionality, I would love to
learn of it!
-E

[1] http://www.mathworks.com/help//techdoc/ref/cov.html
[2] http://www.mathworks.com/help/toolbox/signal/ref/xcov.html
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