Questions Tagged [Covariance-Matrix]
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Determinant of the sample covariance
new here!
I want to find the determinant of the pooled sample covariance of the given matrix. Can someone give a leading clue? (i have searched everywhere)
I have tried many things, this isn't the ...
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Deriving data from a multivariate normal distribution according to a specific correlation matrix in r
I derive data from a multivariate normal distribution. I created the correlation structure I wanted by the sigma matrix. Since I take the standard deviation as 1, I expect the Sigma matrix and ...
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How to incorporate a variance-covariance matrix from abnormal returns and using this to weight the returns in computing the test statistic, using R? [migrated]
I want to run GLS model in my research, using R. My general specification is the following (cross-sectional regression):
Abnormal ~ Country_dummy + Industry_dummy + ESG + Cash + STD + LTD + Size + ...
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SSM model Standard errors Matlab covariance matrix
Does anybody know please how to obtain standard errors of estimates parameter in SSM model matlab? or how to get them from covariance matrix?
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Does a symmetrical NxN matrix still require N² for computer storage
Consider a symmetrical covariance matrix which only requires N(N+1)/2 parameters.
To implement this, the symmetrical pair of values can be stored in a location and a pointer is used to refer to this ...
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Why isn't my Matlab code for a randomly generated covariance matrix making a positive definite matrix?
Here is my code. I'm getting an error that when I use chol(V) that V is not positive definite. I would think that by construction it must be positive definite. Any idea what's going wrong?
% I want ...
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Using the correlation matrix after a fit in Gnuplot
Say I need to fit some data to a parabola, and then perform some calculations involving the correlation matrix elements of the fit parameters: is there a way to use these parameters directly in ...
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What is model.cov_params() in statsmodels?
I am unable to understand what the [cov_params][1] from a fitted statsmodel represents. I thought it would be the covariance matrix of the data but that does not seem to be the case. It is not even ...
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Error message in R: not a symmetric or triangular matrix
I am trying to convert a correlation matrix to a covariance matrix using cor2cov in R.
library(MBESS)
eff_1971 <- c(NA, .56, .25, .25, .22, -.47, -.01, -.06)
eff_1972 <- c(NA, NA, .23, .23, .25, ...
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Manually creating a correlation matrix in R
I have a correlation table from a book that I want to import into R.
The ultimate goal is to convert this correlation matrix into a covariance matrix using the cor2cov function. However, in order to ...
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How to create a N = 1000 , 2 dimensional 2 classes dataset given mean = [-8,8]T, covariance = [ [0.3 1.5] [1.5 9.0] ]
Generate a 1000 two-dimensional dataset, X that is of two classes and plot. The 1
500 data vectors are modeled by the Gaussian distribution with mean, m1 = [ 8, 8]
T
and the rest 500 data vectors are ...
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Multi environment trial in Sommer package (R software) with error variance zero
I adjust a mixed model in Sommer package to solve a multi environment trial analysis, but when the model converge the error variance is always zero, regardless the constraints I use.
The code I am ...
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How to plot a covariance matrix on a 2D plot in MATLAB?
In MATLAB there is a function called cov. If I insert a matrix X into cov like this cov(X), then cov will return a square matrix of covariance.
My question is very simple:
How can I, with MATLAB, plot ...
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Query for Portfolio VaR in SQL Server
I am trying to get log of share prices (matrix) in SQL Server. The column name are dynamic and have been by applying PIVOT
DECLARE
@cmd AS NVARCHAR(MAX),
@cols AS NVARCHAR(MAX),
@query ...
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Convergence issue using a LMM with random intercepts and slopes per patient, and with a continuous AR1 correlation structure
Without providing a reproducible example (because that converged, and my data did not), my data is in a long format and includes 104 patients of which 304 measurements were taken. Most only have 2 ...
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