`numpy:cov`

source: /numpy/lib/_function_base_impl.py :2674

Signature

   def     cov (    m    ,    y    =  None   ,    rowvar    =  True   ,    bias    =  False   ,    ddof    =  None   ,    fweights    =  None   ,    aweights    =  None   ,  * ,     dtype    =  None     )

Summary

Estimate a covariance matrix, given data and weights.

Extended Summary

Covariance indicates the level to which two variables vary together. If we examine N-dimensional samples, $X = [x_{1}, x_{2}, ..., x_{N}]^{T}$ , then the covariance matrix element $C_{ij}$ is the covariance of $x_{i}$ and $x_{j}$ . The element $C_{ii}$ is the variance of $x_{i}$ .

See the notes for an outline of the algorithm.

Parameters

m : array_like: A 1-D or 2-D array containing multiple variables and observations. Each row of m represents a variable, and each column a single observation of all those variables. Also see rowvar below.
y : array_like, optional: An additional set of variables and observations. y has the same form as that of m.
rowvar : bool, optional: If rowvar is True (default), then each row represents a variable, with observations in the columns. Otherwise, the relationship is transposed: each column represents a variable, while the rows contain observations.
bias : bool, optional: Default normalization (False) is by (N - 1), where N is the number of observations given (unbiased estimate). If bias is True, then normalization is by N. These values can be overridden by using the keyword ddof in numpy versions >= 1.5.
ddof : int, optional: If not None the default value implied by bias is overridden. Note that ddof=1 will return the unbiased estimate, even if both fweights and aweights are specified, and ddof=0 will return the simple average. See the notes for the details. The default value is None.
fweights : array_like, int, optional: 1-D array of integer frequency weights; the number of times each observation vector should be repeated.
aweights : array_like, optional: 1-D array of observation vector weights. These relative weights are typically large for observations considered "important" and smaller for observations considered less "important". If ddof=0 the array of weights can be used to assign probabilities to observation vectors.
dtype : data-type, optional: Data-type of the result. By default, the return data-type will have at least numpy.float64 precision.
versionadded 1.20

Returns

out : ndarray: The covariance matrix of the variables.

Notes

Assume that the observations are in the columns of the observation array m and let f = fweights and a = aweights for brevity. The steps to compute the weighted covariance are as follows

>>> m = np.arange(10, dtype=np.float64)
>>> f = np.arange(10) * 2
>>> a = np.arange(10) ** 2.
>>> ddof = 1
>>> w = f * a
>>> v1 = np.sum(w)
>>> v2 = np.sum(w * a)
>>> m -= np.sum(m * w, axis=None, keepdims=True) / v1
>>> cov = np.dot(m * w, m.T) * v1 / (v1**2 - ddof * v2)

Note that when a == 1, the normalization factor v1 / (v1**2 - ddof * v2) goes over to 1 / (np.sum(f) - ddof) as it should.

Examples

import numpy as np

✓

Consider two variables, :math:`x_0` and :math:`x_1`, which correlate perfectly, but in opposite directions:

x = np.array([[0, 2], [1, 1], [2, 0]]).T
x

✓

Note how :math:`x_0` increases while :math:`x_1` decreases. The covariance matrix shows this clearly:

np.cov(x)

✓

Note that element :math:`C_{0,1}`, which shows the correlation between :math:`x_0` and :math:`x_1`, is negative. Further, note how `x` and `y` are combined:

x = [-2.1, -1,  4.3]
y = [3,  1.1,  0.12]
X = np.stack((x, y), axis=0)

✓

np.cov(X)
np.cov(x, y)

✗

np.cov(x)

`numpy:cov`

Signature

Summary

Extended Summary

Parameters

Returns

Notes

Examples

See also

Aliases

Referenced by

This package