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ostwalprasad/cov.py

Created March 20, 2020 09:55
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Covariance matrix only using NumPy
Raw
cov.py
import numpy as np
import pandas as pd
df = YOUR_DATAFRAME
ones = np.ones([df_shape[0],df_shape[0]])
dev_mat = df - (ones @ df)/df_shape[0]
cov_mat = (dev_mat.T @ dev_mat) / df_shape[0]
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