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Weighted Covariance?

  1. Apr 8, 2009 #1
    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
     
  2. jcsd
  3. Apr 8, 2009 #2

    D H

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  4. Apr 8, 2009 #3
    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.
     
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