R: Weighted Covariance Matrices

cov.wt {base}

R Documentation

Weighted Covariance Matrices

Description

Returns a list containing estimates of the weighted covariance matrix and the mean of the data, and optionally of the (weighted) correlation matrix.

Usage

cov.wt(x, wt = rep(1/nrow(x), nrow(x)), cor = FALSE, center = TRUE)

Arguments

x

a matrix or data frame. As usual, rows are observations and columns are variables.

wt

a non-negative and non-zero vector of weights for each observation. Its length must equal the number of rows of x.

cor

A logical indicating whether the estimated correlation weighted matrix will be returned as well.

center

Either a logical or a numeric vector specifying the centers to be used when computing covariances. If TRUE, the (weighted) mean of each variable is used, if FALSE, zero is used. If center is numeric, its length must equal the number of columns of x.

Value

A list containing the following named components:

cov

the estimated (weighted) covariance matrix

center

an estimate for the center (mean) of the data.

n.obs

the number of observations (rows) in x.