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davidchall/weighted_mean.md

Created March 16, 2016 21:18
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Weighted mean of a vector using covariances
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weighted_mean.md

Given a set of covariance matrices pcov of shape (n,m,m) and a set of parameter estimates popt of shape (n,m), the mean parameter estimates are:

weight = np.linalg.inv(pcov)
pcov_mean = np.linalg.inv(np.sum(weight, axis=0))
popt_wgt = np.einsum('ijk,ik->ij', weight, popt)
popt_mean = np.dot(pcov_mean, np.sum(popt_wgt, axis=0))
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