WeightedCovariances
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Function Description
Returns an array of 
elements corresponding
to the elements of the matrix, 
, of the weighted
(sample) covariances for 
series that are provided
to the function as an array of 
elements, where the
first 
elements correspond to
the terms in the first series, the next elements
to the corresponding terms in the second series etc.
Weighted (sample) covariances, given weights 
(for 
), are calculated as:
where
See Weighted
Moments and Cumulants for further details and explanation of terms in this
formula. If the weights are equal then returns the same as MnCovariances.
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Output type / Parameter details
Output type: Double()
| Parameter Name | Variable Type | Description |
| InputArray | Double() | Input array of m series with n elements |
| WeightArray | Double() | Array containing series to use to weight observations |
| m | Double | Number of series |
| n | Double | Number of elements in series |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Statistical functions
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Computation units used
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