Re: weighted correlation in Q?

[Laura]

 

There is no inbuilt weighted correlation, but you can easily implement Pearson Weighted Correlation as follows

wcov: {[x;y;w] w wavg (x-w wavg x)*y-w wavg y} // weighted covariance

wcor: {[x;y;w] wcov[x;y;w]%sqrt wcov[x;x;w]*wcov[y;y;w]} // weighted correlation

-Ajay