Computes weighted variance
weighted_var(x, w) wvar(x, w)
| x | A numeric vector of length \(n\). |
|---|---|
| w | A numeric vector of length \(n\). |
Numeric scalar with the weighted variance.
weighted_variance implements weighted variance computation
in the following form:
$$%
\frac{\sum_i w_i'(x_i - \bar x)^2}{(1-n)}
$$
where \(w_i'=w_i/\sum_i w_i\), and \(\bar x = \sum_i w_i'x_i\).
This function is used in diffmap.