Emilio Torres Manzanera
2014-Mar-30 22:30 UTC
cov.wt gives different results from other (co)variance functions (cov, wtd.var)
Dear Sir, I am not sure about the precision of the cov.wt function. It seems that it provides different results when using frequency weights. This discrepancy only occurs with the covariance matrix, not with the correlation matrix. Do you know to how to solve this issue? Thank you Best regards, Emilio rm(list=ls()) library(plyr) library(Hmisc) mydata <- iris[,1:2] xcor <- cor(mydata) xcov <- cov(mydata) all.equal(cov.wt(mydata)$cov,xcov) # OK ## Now, we use frequency weights mytable <- count(mydata) # Compute frequency table all.equal(wtd.var(mytable[,1],weights=mytable$freq), xcov[1,1]) # OK (Hmisc::wtd.var and cov) # But with cov.wt result <- cov.wt(mytable[,1:2],wt=mytable$freq,cor=TRUE) all.equal(result$cov, xcov) # Wrong! # "Mean relative difference: 0.003579418" all.equal(wtd.var(mytable[,1],weights=mytable$freq), result$cov[1,1]) # Wrong! # "Mean relative difference: 0.003592277" all.equal(result$cov[1,1], xcov[1,1]) # Wrong! # "Mean relative difference: 0.003579418" # The correlations are equal all.equal(result$cor, xcor) # OK sessionInfo() R version 3.0.3 (2014-03-06) Platform: i686-pc-linux-gnu (32-bit) locale: [1] LC_CTYPE=es_ES.UTF-8 LC_NUMERIC=C [3] LC_TIME=es_ES.UTF-8 LC_COLLATE=es_ES.UTF-8 [5] LC_MONETARY=es_ES.UTF-8 LC_MESSAGES=es_ES.UTF-8 [7] LC_PAPER=es_ES.UTF-8 LC_NAME=C [9] LC_ADDRESS=C LC_TELEPHONE=C [11] LC_MEASUREMENT=es_ES.UTF-8 LC_IDENTIFICATION=C attached base packages: [1] splines grid stats graphics grDevices utils datasets [8] methods base other attached packages: [1] Hmisc_3.14-0 Formula_1.1-1 survival_2.37-7 lattice_0.20-27 [5] plyr_1.8 loaded via a namespace (and not attached): [1] cluster_1.15.1 latticeExtra_0.6-26 RColorBrewer_1.0-5 -- ================================================Emilio Torres Manzanera Fac. de Comercio - Universidad de Oviedo c/ Luis Moya 261, E-33203 Gijón (Spain) Tel. 985 182 197 email: torres@uniovi.es ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.