[R-SIG-Finance] FW: Covariance in R - wrong?

[Carlos J. Gil Bellosta]

From

?cov

"The denominator n - 1 is used which gives an unbiased estimator of the
(co)variance for i.i.d. observations."

As you see, it tells you what the denominator is... and why.

best regards,

Carlos J. Gil Bellosta
http://www.datanalytics.com


On Mon, 2009-01-12 at 09:26 +0100, julien cuisinier wrote:
> 
> 
> Hi,I am bit puzzled by the cov() function in RChecking a function I write, it seems that R compute the covariance between two variable as:1/(n-1) sum[(x-mean(x))*(y-mean(y))]While Excel divide the sum by n instead of (n-1)...which is the right way to do as far as I know...Has anyone already encountered this? or is it just me getting crazy?I use R 2.8.0 on Mac OS XThanks for your feedbackBest regardsJulien
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