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Home Forums kdb+ weighted correlation in Q?

  • Laura

    June 7, 2021 at 12:00 am


    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


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