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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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# Weighted Covariance?

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