From apw at us.ibm.com  Tue May 26 11:50:10 2009
From: apw at us.ibm.com (apw at us.ibm.com)
Date: Tue, 26 May 2009 11:50:10 +0200 (CEST)
Subject: [Rd] Covariance calculation gives different answer than Excel
	(PR#13720)
Message-ID: <20090526095010.9272028320AF@mail.pubhealth.ku.dk>

Full_Name: Amos Waterland
Version: 2.8.1
OS: Ubuntu Linux
Submission from: (NULL) (68.175.8.163)


I calculated the covariance for a small data set as follows:

X <- c(1,2,3,4)
Y <- c(3,3,4,3)
cov(X,Y)
[1] 0.1666667

But when doing the computation with pencil and paper I get:

((-1.5)*(-0.25) + (-0.5)*(-0.25) + (0.5)*(0.75) + (1.5)*(-0.25))/4
[1] 0.125

Microsoft Excel 2003 covar() also gives 0.125.  I suspect that you guys are
doing something like this:

((-1.5)*(-0.25) + (-0.5)*(-0.25) + (0.5)*(0.75) + (1.5)*(-0.25))/3
[1] 0.1666667

That is, you are dividing by N minus 1 rather than N.  So who is correct?



[Rd] Covariance calculation gives different answer than Excel (PR#13720)
apw at us.ibm.com