Weighted Covariance: Calculating 3x3 Matrix with Point Weights

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preet
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Hi All,

I have a data set consisting of (x,y,z) coordinates. I can calculate the covariance between them just fine. Calculating all the covariances between the three variables gives me a nice 3x3 matrix. However, the points have a weighting value as well. I don't know how to account for the point weights in the normal covariance formula.

I would appreciate any advice.


Regards,

-Preet
 
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Thank you. I had seen that link... I don't understand how the equation in the provided link was derived. I we hoping someone could help flesh it out.