R: Weighted Covariance Matrices (Maximum Likelihood)

cov.wml {fpc} | R Documentation

## Weighted Covariance Matrices (Maximum Likelihood)

### Description

Returns a list containing estimates of the weighted covariance matrix and the mean of the data, and optionally of the (weighted) correlation matrix. The covariance matrix is divided by the sum of the weights, corresponding to `n` and the ML-estimator in the case of equal weights, as opposed to `n-1` for `cov.wt`.

### Usage

    cov.wml(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`.
`wt` | the weights used in the estimation. Only returned if given as an argument.
`cor` | the estimated correlation matrix. Only returned if ‘cor’ is ‘TRUE’.

### Author(s)

Christian Hennig c.hennig@ucl.ac.uk http://www.homepages.ucl.ac.uk/~ucakche/

### See Also

`cov.wt`, `cov`, `var`

### Examples

      x <- c(1,2,3,4,5,6,7,8,9,10)
      y <- c(1,2,3,8,7,6,5,8,9,10)
      cov.wml(cbind(x,y),wt=c(0,0,0,1,1,1,1,1,0,0))
      cov.wt(cbind(x,y),wt=c(0,0,0,1,1,1,1,1,0,0))

[Package fpc version 2.1-10 Index]