weighted_var: Computes weighted variance
Description
Computes weighted variance
Usage
weighted_var(x, w)wvar(x, w)
Arguments
x
A numeric vector of length \(n\).
w
A numeric vector of length \(n\).
Value
Numeric scalar with the weighted variance.
Details
weighted_variance implements weighted variance computation
in the following form:
$$%
\frac{\sum_i w_i'(x_i - \bar x)^2}{(1-n)}
$$
where \(w_i'=w_i/\sum_i w_i\), and
\(\bar x = \sum_i w_i'x_i\).
See Also
This function is used in diffmap.