[Numpy-discussion] Cross-covariance function

John Salvatier jsalvati@u.washington....
Sat Jan 21 17:26:30 CST 2012

I ran into this a while ago and was confused why cov did not behave the way
pierre suggested.
On Jan 21, 2012 12:48 PM, "Elliot Saba" <staticfloat@gmail.com> wrote:

> 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. [1]
> MATLAB, however, has an xcov() function, which is similar to what we have
> been discussing. [2]
> 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!
> -E
> [1] http://www.mathworks.com/help//techdoc/ref/cov.html
> [2] http://www.mathworks.com/help/toolbox/signal/ref/xcov.html
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