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davidchall/weighted_mean.md

Created March 16, 2016 21:18
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  1. davidchall created this gist Mar 16, 2016.
    6 changes: 6 additions & 0 deletions weighted_mean.md
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    Given a set of covariance matrices `pcov` of shape (n,m,m) and a set of parameter estimates `popt` of shape (n,m), the mean parameter estimates are:

    weight = np.linalg.inv(pcov)
    pcov_mean = np.linalg.inv(np.sum(weight, axis=0))
    popt_wgt = np.einsum('ijk,ik->ij', weight, popt)
    popt_mean = np.dot(pcov_mean, np.sum(popt_wgt, axis=0))