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pythonstatisticscovariance
Lena
Lena

Reputation: 19

Covariance Matrix showing covariance between each value in vectors

Is there a python function that allows me to compute a n*n auto covariance matrix, displaying the covariance between each combination of the entries in a vector [a1,a2,a3...an]? I can't get np.cov to do that... I want it to look like this:

    cov(a1,a1) cov(a1,a2)... cov(a1,an)
    cov(a2,a1) cov(a2,a2)...
    ...
    cov(an,a1) ...           cov(an,an)

Any help is appreciated! Cheers, Lena

Upvotes: 0

Views: 670

Answers (1)

error
error

Reputation: 2471

You could use the pandas package. http://pandas.pydata.org/

Dataframes have a covariance method that computes the covariances between all columns in the DataFrame.

This should roughly be the workflow.

import pandas as pd
df = pd.DataFrame(your_vector)
cov = df.cov()

Cov is now a dataframe that contains the covariences between all the columns in your vector. You can than do what ever analysis you want on the resulting dataframe.

Upvotes: 0

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