Weighted standard deviation in NumPy

python numpy statsmodels standard-deviation weighted
YGA picture YGA · Mar 10, 2010 · Viewed 47.6k times · Source

numpy.average() has a weights option, but numpy.std() does not. Does anyone have suggestions for a workaround?

Answer

Eric O Lebigot picture Eric O Lebigot · Mar 10, 2010

How about the following short "manual calculation"?

def weighted_avg_and_std(values, weights):
    """
    Return the weighted average and standard deviation.

    values, weights -- Numpy ndarrays with the same shape.
    """
    average = numpy.average(values, weights=weights)
    # Fast and numerically precise:
    variance = numpy.average((values-average)**2, weights=weights)
    return (average, math.sqrt(variance))

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