# 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:

the estimated (weighted) covariance matrix

an estimate for the center (mean) of the data.

the number of observations (rows) in `x`

.

the weights used in the estimation. Only returned if given as an argument.

the estimated correlation matrix. Only returned if
`cor`

is `TRUE`

.

##### See Also

##### Examples

`library(stats)`

```
# NOT RUN {
(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 3.6.1, License: Part of R 3.6.1*