[SciPy-User] [SciPy-user] Covariance matrix

Johannes Eckstein eckjoh2@web...
Mon Feb 13 09:30:43 CST 2012


Haha, Thanks Pauli

maybe good, that I don't have that much memory.
I just realized that I was confused by the indices...
I had it the way round, before... another question:

M = X.H * X

with X being a de-trended process does give the (unscaled) covariance 
matrix?

cheers, Johannes
> 13.02.2012 09:59, Johannes Eckstein kirjoitti:
> [clip]
>> how can I do a matrix multiplication of a matrix X with shape: (240001, 4)
>>
>> M = X * X.H
>>
>> when I do this I get the following:
>>      return N.dot(self, asmatrix(other))
>> ValueError: array is too big.
>>
>> What is the best way to avoid this error?
> The result would be a 240001 x 240001 matrix that consumes 430 GB of
> memory. Do you really have that much available?
>


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