Covariance Matrix with NaNs
in [Matlab]
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From: Tom Braukmann on 28 Jun 2010 08:05 Hi, I want to compute a Covarianze Matrix from a large Dataset (N=400) with a lot of Observations (T=400). However some of the Observations have NaN. Thus I want to compute the Covariances individually and only for the times where two Variables have observations at the same time. Then I want to fill in these Covariances in a Matrix and have another Matrix with the number of the observations for ech individual Covariance. I have no idea how to do this- any suggestions? Best tom
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