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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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