Calculate variance/covariance with complex numbers

Thanks a lot for the help, Ben Bolker and Chuck!

Chuck, it seems your version needs a little modification. Instead of this:
xri <- matrix(rnorm(10000)+1i*rnorm(10000),nc=2)
crossprod(xri-colMeans(xri))/(nrow(xri)-1)
it seems to me it should be this (maybe there is a more elegant
modification than mine?):
crossprod(t(apply(xri, 1, '-', colMeans(xri))))/(nrow(xri)-1)
Do you agree?

Gang
On Sat, 27 Mar 2010, Gang Chen wrote:

Anybody knows what functions can be used to calculate
variance/covariance with complex numbers? var and cov don't seem to
work:
How about?

xri <- matrix(rnorm(10000)+1i*rnorm(10000),nc=2)
crossprod(xri-colMeans(xri))/(nrow(xri)-1)
HTH,

Chuck

a
? ? ? ? ? ? ? ? ? ? ? 1
V1 0.00810014+0.00169366i
V2 0.00813054+0.00158251i
V3 0.00805489+0.00163295i
V4 0.00809141+0.00159533i
V5 0.00813976+0.00161850i

var(a)
? ? ? ? ? ?1
1 1.141556e-09
Warning message:
In var(a) : imaginary parts discarded in coercion

cov(a)
? ? ? ? ? ?1
1 1.141556e-09
Warning message:
In cov(a) : imaginary parts discarded in coercion

Thanks in advance,
Gang

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Calculate variance/covariance with complex numbers

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