[Numpy-discussion] Cross-covariance function

Elliot Saba staticfloat@gmail....
Thu Jan 19 00:50:04 CST 2012


Greetings,

I recently needed to calculate the cross-covariance of two random vectors,
(e.g. I have two matricies, X and Y, the columns of which are observations
of one variable, and I wish to generate a matrix pairing each value of X
and Y) and so I wrote a small utility function to do so, and I'd like to
try and get it integrated into numpy core, if it is deemed useful.

I have never submitted a patch to numpy before, so I'm not sure as to the
protocol; do I ask someone on this list to review the code?  Are there
conventions I should be aware of?  Etc...

Thank you all,
-E
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