Re: Compute a weighted correlation
 From: "Ray Koopman" <koopman@xxxxxx>
 Date: 13 Feb 2006 14:57:15 0800
youngjin.michael@xxxxxxxxx wrote:
Hello,
Is there a way to assign weights to data before compute a simple
correlation?
I was googling, but not able to find any answer to this.
Thanks in advance.
YoungJin
Weighted Mean:
m[x;w] = (sum_i w_i*x_i)/(sum_i w_i)
Weighted Covariance:
c[x,y;w] = (sum_i w_i*(x_i  m[x;w])*(y_i  m[y;w]))/(sum_i w_i)
Weighted Correlation:
r[x,y;w] = c[x,y;w]/sqrt(c[x,x;w]*c[y,y;w])
.
 References:
 [Q] Compute a weighted correlation
 From: youngjin . michael
 [Q] Compute a weighted correlation
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