Avoiding the mean

Fri, Feb 22, 2002 1:20 AM

Dear list,

what is the fastest way to compute a multivariate mean and cov-matrix? I
presume that the mean is computed in cov, so it may be a waste of time to
compute the mean first and then a second time inside of cov. Is it faster
to use cov.wt, which gives cov-matrix and center?
And: If mean and cov should be computed on a part of the data, is it faster 
to use cov.wt with some weights zero, or should cov (or cov.wt) be computed
on a subset?

Best,
Christian

***********************************************************************
Christian Hennig
Seminar fuer Statistik, ETH-Zentrum (LEO), CH-8092 Zuerich (current)
and Fachbereich Mathematik-SPST/ZMS, Universitaet Hamburg
hennig at stat.math.ethz.ch, http://stat.ethz.ch/~hennig/
hennig at math.uni-hamburg.de, http://www.math.uni-hamburg.de/home/hennig/
#######################################################################
ich empfehle www.boag.de


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Avoiding the mean

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