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ostwalprasad/cov.py

Created March 20, 2020 09:55
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  1. ostwalprasad created this gist Mar 20, 2020.
    7 changes: 7 additions & 0 deletions cov.py
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    Original file line number Diff line number Diff line change
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    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]