numpy協方差矩陣numpy.cov

本文轉載自查看原文 2018-04-01 22:20 7325 python/ machine learning

numpy.cov(m, y=None, rowvar=True, bias=False, ddof=None, fweights=None, aweights=None)[source]

Estimate a covariance matrix, given data and weights.

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

See the notes for an outline of the algorithm.

Parameters:

Parameters:	m : array_like A 1-D or 2-D array containing multiple variables and observations. Each row （行） of m represents a variable（變量）, and each column（列） a single observation of all those variables（樣本）. 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`. New in version 1.5. fweights : array_like, int, optional 1-D array of integer freguency weights; the number of times each observation vector should be repeated. New in version 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. New in version 1.10.
Returns:	out : ndarray The covariance matrix of the variables.

m : array_like

A 1-D or 2-D array containing multiple variables and observations. Each row （行） of m represents a variable（變量）, and each column（列） a single observation of all those variables（樣本）. 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.

New in version 1.5.

fweights : array_like, int, optional

1-D array of integer freguency weights; the number of times each observation vector should be repeated.

New in version 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.

New in version 1.10.

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:

 
            >>> w = f * a >>> v1 = np.sum(w) >>> v2 = np.sum(w * a) >>> m -= np.sum(m * w, axis=1, 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, $x_0$ and $x_1$ , 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 $x_0$ increases while $x_1$ decreases. The covariance matrix shows this clearly:

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

Note that element $C_{0,1}$ , which shows the correlation between $x_0$ and $x_1$ , 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) >>> print(np.cov(X)) [[ 11.71 -4.286 ]  [ -4.286 2.14413333]] >>> print(np.cov(x, y)) [[ 11.71 -4.286 ]  [ -4.286 2.14413333]] >>> print(np.cov(x)) 11.71
 
            總結 
            
理解協方差矩陣的關鍵就在於牢記它的計算是不同維度之間的協方差，而不是不同樣本之間。拿到一個樣本矩陣，最先要明確的就是一行是一個樣本還是一個維度，心中明確整個計算過程就會順流而下，這么一來就不會迷茫了。

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