adding covariance to dataframe · Issue #194 · pandas-dev/pandas (original) (raw)

here is a sample implementation for dataframe.

def cov(self): """ Compute pairwise covariance of columns

Returns
-------
y : DataFrame
"""

cols = self.columns
std = np.diag(self.std())
corr = self.corr()
result = np.dot(np.dot(std, corr), std)
return self._constructor(result , index=cols, columns=cols)