[Numpy-discussion] Cross-covariance function

Pierre Haessig pierre.haessig@crans....
Fri Jan 20 06:39:00 CST 2012


Hi Eliot,

Le 19/01/2012 07:50, Elliot Saba a écrit :
> 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) 
I don't see how does your function relates to numpy.cov [1]. Is it an 
"extended case" function or is there a difference in the underlying math ?

Best,
Pierre

[1] numpy.cov docstring : 
http://docs.scipy.org/doc/numpy/reference/generated/numpy.cov.html


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