[Numpy-discussion] Adding weights to cov and corrcoef (Sebastian Berg)

[josef.pktd at gmail.com]

On Thu, Mar 6, 2014 at 8:38 PM, Sturla Molden <sturla.molden at gmail.com> wrote:
> Sebastian Berg <sebastian at sipsolutions.net> wrote:
>
>> I am right now a bit unsure about whether or not the "weights" would be
>> "aweights" or different... R seems to not care about the scale of the
>> weights which seems a bit odd to me for an unbiased estimator? I always
>> assumed that we can do the statistics behind using the ddof... But even
>> if we can figure out the right way, what I am doubting a bit is that if
>> we add weights, their names should be clear enough to not clash with
>> possibly different kind of (interesting) weights in other functions.
>
> http://en.wikipedia.org/wiki/Weighted_arithmetic_mean#Weighted_sample_covariance


just as additional motivation (I'm not into definition of weights right now :)

I was just reading a chapter on robust covariance estimation, and one
of the steps in many of the procedures requires weighted covariances,
and weighted variances.

weights are just to reduce the influence of outlying observations.

Josef


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