Compute a covariance matrix with data with NA values

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Compute a covariance matrix with data with NA values

Jessica Koh

My data contains some missing values. I want to compute a covariance matrix for three of the variables I have. The location of missing values differ across different variables, and I want to use all the non-missing data to construct the covariance matrix. I want the covariance function to handle missing values by pairwise deletion; all available observations should be used to calculate each pairwise correlation without regard to whether variables outside that pair are missing.

cov() function does not seem to handle NA values, if I am not mistaken.

I can technically write up the function from scratch to do this. But this seems like a basic problem, so I was guessing there might be some library already written that handle this. Has anyone faced this problem?

Any help will be greatly appreciated. Thanks!

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