[R] Calculate variance/covariance with complex numbers

[Charles C. Berry]

On Sat, 27 Mar 2010, Gang Chen wrote:

> Anybody knows what functions can be used to calculate
> variance/covariance with complex numbers? var and cov don't seem to
> work:

How about?

> xri <- matrix(rnorm(10000)+1i*rnorm(10000),nc=2)
> crossprod(xri-colMeans(xri))/(nrow(xri)-1)

HTH,

Chuck

>
>> a
>                        1
> V1 0.00810014+0.00169366i
> V2 0.00813054+0.00158251i
> V3 0.00805489+0.00163295i
> V4 0.00809141+0.00159533i
> V5 0.00813976+0.00161850i
>
>> var(a)
>             1
> 1 1.141556e-09
> Warning message:
> In var(a) : imaginary parts discarded in coercion
>
>> cov(a)
>             1
> 1 1.141556e-09
> Warning message:
> In cov(a) : imaginary parts discarded in coercion
>
> Thanks in advance,
> Gang
>
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Charles C. Berry                            (858) 534-2098
                                             Dept of Family/Preventive Medicine
E mailto:cberry at tajo.ucsd.edu	            UC San Diego
http://famprevmed.ucsd.edu/faculty/cberry/  La Jolla, San Diego 92093-0901