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