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Fonction cov - module numpy

Signature de la fonction cov

def cov(m, y=None, rowvar=True, bias=False, ddof=None, fweights=None, aweights=None, *, dtype=None) 

Description

cov.__doc__

    Estimate a covariance matrix, given data and weights.

    Covariance indicates the level to which two variables vary together.
    If we examine N-dimensional samples, :math:`X = [x_1, x_2, ... x_N]^T`,
    then the covariance matrix element :math:`C_{ij}` is the covariance of
    :math:`x_i` and :math:`x_j`. The element :math:`C_{ii}` is the variance
    of :math:`x_i`.

    See the notes for an outline of the algorithm.

    Parameters
    ----------
    m : array_like
        A 1-D or 2-D array containing multiple variables and observations.
        Each row of `m` represents a variable, and each column a single
        observation of all those variables. Also see `rowvar` below.
    y : array_like, optional
        An additional set of variables and observations. `y` has the same form
        as that of `m`.
    rowvar : bool, optional
        If `rowvar` is True (default), then each row represents a
        variable, with observations in the columns. Otherwise, the relationship
        is transposed: each column represents a variable, while the rows
        contain observations.
    bias : bool, optional
        Default normalization (False) is by ``(N - 1)``, where ``N`` is the
        number of observations given (unbiased estimate). If `bias` is True,
        then normalization is by ``N``. These values can be overridden by using
        the keyword ``ddof`` in numpy versions >= 1.5.
    ddof : int, optional
        If not ``None`` the default value implied by `bias` is overridden.
        Note that ``ddof=1`` will return the unbiased estimate, even if both
        `fweights` and `aweights` are specified, and ``ddof=0`` will return
        the simple average. See the notes for the details. The default value
        is ``None``.

        .. versionadded:: 1.5
    fweights : array_like, int, optional
        1-D array of integer frequency weights; the number of times each
        observation vector should be repeated.

        .. versionadded:: 1.10
    aweights : array_like, optional
        1-D array of observation vector weights. These relative weights are
        typically large for observations considered "important" and smaller for
        observations considered less "important". If ``ddof=0`` the array of
        weights can be used to assign probabilities to observation vectors.

        .. versionadded:: 1.10
    dtype : data-type, optional
        Data-type of the result. By default, the return data-type will have
        at least `numpy.float64` precision.

        .. versionadded:: 1.20

    Returns
    -------
    out : ndarray
        The covariance matrix of the variables.

    See Also
    --------
    corrcoef : Normalized covariance matrix

    Notes
    -----
    Assume that the observations are in the columns of the observation
    array `m` and let ``f = fweights`` and ``a = aweights`` for brevity. The
    steps to compute the weighted covariance are as follows::

        >>> m = np.arange(10, dtype=np.float64)
        >>> f = np.arange(10) * 2
        >>> a = np.arange(10) ** 2.
        >>> ddof = 1
        >>> w = f * a
        >>> v1 = np.sum(w)
        >>> v2 = np.sum(w * a)
        >>> m -= np.sum(m * w, axis=None, keepdims=True) / v1
        >>> cov = np.dot(m * w, m.T) * v1 / (v1**2 - ddof * v2)

    Note that when ``a == 1``, the normalization factor
    ``v1 / (v1**2 - ddof * v2)`` goes over to ``1 / (np.sum(f) - ddof)``
    as it should.

    Examples
    --------
    Consider two variables, :math:`x_0` and :math:`x_1`, which
    correlate perfectly, but in opposite directions:

    >>> x = np.array([[0, 2], [1, 1], [2, 0]]).T
    >>> x
    array([[0, 1, 2],
           [2, 1, 0]])

    Note how :math:`x_0` increases while :math:`x_1` decreases. The covariance
    matrix shows this clearly:

    >>> np.cov(x)
    array([[ 1., -1.],
           [-1.,  1.]])

    Note that element :math:`C_{0,1}`, which shows the correlation between
    :math:`x_0` and :math:`x_1`, is negative.

    Further, note how `x` and `y` are combined:

    >>> x = [-2.1, -1,  4.3]
    >>> y = [3,  1.1,  0.12]
    >>> X = np.stack((x, y), axis=0)
    >>> np.cov(X)
    array([[11.71      , -4.286     ], # may vary
           [-4.286     ,  2.144133]])
    >>> np.cov(x, y)
    array([[11.71      , -4.286     ], # may vary
           [-4.286     ,  2.144133]])
    >>> np.cov(x)
    array(11.71)