# cov.wt

##### Weighted Covariance Matrices

Returns a list containing estimates of the weighted covariance matrix and the mean of the data, and optionally of the (weighted) correlation matrix.

- Keywords
- multivariate

##### Usage

```
cov.wt(x, wt = rep(1/nrow(x), nrow(x)), cor = FALSE, center = TRUE,
method = c("unbiased", "ML"))
```

##### 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`

. - method
- string specifying how the result is scaled, see
Details below. Can be abbreviated.

##### Details

By default, `method = "unbiased"`

,
The covariance matrix is divided by one minus the sum of squares of
the weights, so if the weights are the default ($1/n$) the conventional
unbiased estimate of the covariance matrix with divisor $(n - 1)$
is obtained. This differs from the behaviour in S-PLUS which
corresponds to `method = "ML"`

and does not divide.

##### 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`

.

##### See Also

##### Examples

`library(stats)`

```
(xy <- cbind(x = 1:10, y = c(1:3, 8:5, 8:10)))
w1 <- c(0,0,0,1,1,1,1,1,0,0)
cov.wt(xy, wt = w1) # i.e. method = "unbiased"
cov.wt(xy, wt = w1, method = "ML", cor = TRUE)
```

*Documentation reproduced from package stats, version 3.3, License: Part of R 3.3*

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