[R] Calculate variance/covariance with complex numbers

[Gang Chen]

Thanks a lot for the help, Ben Bolker and Chuck!

Chuck, it seems your version needs a little modification. Instead of this:

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

it seems to me it should be this (maybe there is a more elegant
modification than mine?):
> crossprod(t(apply(xri, 1, '-', colMeans(xri))))/(nrow(xri)-1)

Do you agree?

Gang



On Sat, Mar 27, 2010 at 7:07 PM, Charles C. Berry <cberry at tajo.ucsd.edu> wrote:
> 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
>
>
>