> > I seem to recall that there was a discussion on this and it was a lot >> trickier then expected. >> > > But given that numpy has the weights already for cov, then I don't see > any additional issues > whith adding it also to corrcoef. >
> corrcoef is just rescaling the cov, so there is nothing special to add > except that corrcoef hands off the options to cov. > This was my understanding. I am currently just using my own copy of corrcoef which forwards the aweights and fweights arguments directly to np.cov. Is this the correct approach? Corin Hoad
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