| % File src/library/stats/man/cov.wt.Rd |
| % Part of the R package, https://www.R-project.org |
| % Copyright 1995-2007 R Core Team |
| % Distributed under GPL 2 or later |
| |
| \name{cov.wt} |
| \alias{cov.wt} |
| \title{Weighted Covariance Matrices} |
| \usage{ |
| cov.wt(x, wt = rep(1/nrow(x), nrow(x)), cor = FALSE, center = TRUE, |
| method = c("unbiased", "ML")) |
| } |
| \description{ |
| Returns a list containing estimates of the weighted covariance matrix |
| and the mean of the data, and optionally of the (weighted) correlation |
| matrix.} |
| \arguments{ |
| \item{x}{a matrix or data frame. As usual, rows are observations and |
| columns are variables.} |
| \item{wt}{a non-negative and non-zero vector of weights for each |
| observation. Its length must equal the number of rows of \code{x}.} |
| \item{cor}{a logical indicating whether the estimated correlation |
| weighted matrix will be returned as well.} |
| \item{center}{either a logical or a numeric vector specifying the |
| centers to be used when computing covariances. If \code{TRUE}, the |
| (weighted) mean of each variable is used, if \code{FALSE}, zero is |
| used. If \code{center} is numeric, its length must equal the number |
| of columns of \code{x}.} |
| \item{method}{string specifying how the result is scaled, see |
| \sQuote{Details} below. Can be abbreviated.} |
| } |
| \value{ |
| A list containing the following named components: |
| \item{cov}{the estimated (weighted) covariance matrix} |
| \item{center}{an estimate for the center (mean) of the data.} |
| \item{n.obs}{the number of observations (rows) in \code{x}.} |
| \item{wt}{the weights used in the estimation. Only returned if given |
| as an argument.} |
| \item{cor}{the estimated correlation matrix. Only returned if |
| \code{cor} is \code{TRUE}.} |
| } |
| \details{ |
| By default, \code{method = "unbiased"}, |
| The covariance matrix is divided by one minus the sum of squares of |
| the weights, so if the weights are the default (\eqn{1/n}) the conventional |
| unbiased estimate of the covariance matrix with divisor \eqn{(n - 1)} |
| is obtained. This differs from the behaviour in S-PLUS which |
| corresponds to \code{method = "ML"} and does not divide. |
| } |
| \seealso{\code{\link{cov}} and \code{\link{var}}. |
| } |
| \examples{ |
| (xy <- cbind(x = 1:10, y = c(1:3, 8:5, 8:10))) |
| w1 <- c(0,0,0,1,1,1,1,1,0,0) |
| cov.wt(xy, wt = w1) # i.e. method = "unbiased" |
| cov.wt(xy, wt = w1, method = "ML", cor = TRUE) |
| } |
| \keyword{multivariate} |