[Numpy-discussion] Cross-covariance function
Sat Jan 21 14:47:36 CST 2012
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. 
MATLAB, however, has an xcov() function, which is similar to what we have
been discussing. 
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!
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