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Suggesting an error in online covariance computation |
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The weighted variance pseudocode seems correct to me; I just did a back-of-the-envelope check (but feel free to check it more thoroughly!). I've removed the misleading comment in the pseudocode (''#[WARNING] This seems wrong. It should be moved before M2 assignment''). This comment doesn't seem to make much sense; one can easily show that it yields the wrong result for the trivial case in which the weights are all equal to one.
[[User:Theaucitron|Theaucitron]] ([[User talk:Theaucitron|talk]]) 11:07, 21 August 2012 (UTC)
== Online algorithm for covariance ==
Is this algorithm right? I'm not an expert, but when I compare it to the online variance computation, it's different, and if I replace y with x, I should get cov(x,x) = var(x), so could anyone have a look please? [[Special:Contributions/131.227.95.222|131.227.95.222]] ([[User talk:131.227.95.222|talk]]) 18:03, 27 February 2013 (UTC)
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