weighted_var function

Computes weighted variance

weighted_var(x, w)

wvar(x, w)

Arguments

• x: A numeric vector of length $n$.
• w: A numeric vector of length $n$.

Returns

Numeric scalar with the weighted variance.

Details

weighted_variance implements weighted variance computation in the following form:

where $w(i)' = w(i)/sum(w)$, and $w.mean(x)=sum[w(i)'*x(i)]$.

See Also

This function is used in diffmap.