[Numpy-discussion] Cross-covariance function

[josef.pktd at gmail.com]

On Thu, Jan 26, 2012 at 12:26 PM, Sturla Molden <sturla at molden.no> wrote:
> Den 26.01.2012 17:25, skrev Pierre Haessig:
>> However, in the case this change is not possible, I would see this
>> solution :
>> * add and xcov function that does what Elliot and Sturla and I
>> described, because
>
> The current np.cov implementation returns the cross-covariance the way
> it is commonly used in statistics. If MATLAB does not, then that is
> MATLAB's problem I think.

The discussion had this reversed, numpy matches the behavior of
MATLAB, while R (statistics) only returns the cross covariance part as
proposed.

If there is a new xcov, then I think there should also be a xcorrcoef.
This case needs a different implementation than corrcoef, since the
xcov doesn't contain the variances and they need to be calculated
separately.

Josef

>
> http://www.stat.washington.edu/research/reports/2001/tr391.pdf
>
> Sturla
>
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