WeightedCovariances
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Function Description
Returns an array of elements corresponding
to the elements of the matrix, , of the weighted
(sample) covariances for series that are provided
to the function as an array of elements, where the
first elements correspond to
the terms in the first series, the next elements
to the corresponding terms in the second series etc.
Weighted (sample) covariances, given weights (for ), are calculated as:
where
See Weighted
Moments and Cumulants for further details and explanation of terms in this
formula. If the weights are equal then returns the same as MnCovariances.
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