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Re: Covariance Matrix [message #86848 is a reply to message #86847]

Sat, 07 December 2013 05:31

David Fanning
Messages: 11724
Registered: August 2001

Senior Member

Amin Farhang writes:

> I have N observed data as a vector, and I need to compute its NxN covariance matrix, but IDL correlate function just return one value as the correlation (or covariance) between two vectors and do not return a matrix.
> So how can I compute NxN covariance matrix of below vector (for example):
>
> IDL> A = [1,2,3,4,5]

If you only have one vector, the best you can do is calculate the way
the numbers in the vector vary with respect to the mean of the vector.
In other words, you can calculate the variance.

To do a COvariance, you measure how one vector varies with respect to
one or more *other* vectors. Where is your vector B if you want to do a
covariance?

Cheers,

David

--
David Fanning, Ph.D.
Fanning Software Consulting, Inc.
Coyote's Guide to IDL Programming: http://www.idlcoyote.com/
Sepore ma de ni thue. ("Perhaps thou speakest truth.")

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[Message index]

		Covariance Matrix By: amin farhang on Sat, 07 December 2013 04:11
		Re: Covariance Matrix By: David Fanning on Sat, 07 December 2013 05:31
		Re: Covariance Matrix By: amin farhang on Sat, 07 December 2013 06:37
		Re: Covariance Matrix By: Matthew Argall on Sat, 07 December 2013 07:28
		Re: Covariance Matrix By: amin farhang on Sat, 07 December 2013 09:25
		Re: Covariance Matrix By: Matthew Argall on Sat, 07 December 2013 09:38
		Re: Covariance Matrix By: Matthew Argall on Sat, 07 December 2013 09:46
		Re: Covariance Matrix By: amin farhang on Sun, 08 December 2013 11:57
		Re: Covariance Matrix By: haval.js on Tue, 04 March 2014 05:44
		Re: Covariance Matrix By: Matthew Argall on Tue, 04 March 2014 06:22
		Re: Covariance Matrix By: haval.js on Wed, 05 March 2014 02:37
		Re: Covariance Matrix By: haval.js on Wed, 05 March 2014 02:38
		Re: Covariance Matrix By: haval.js on Wed, 05 March 2014 02:43
		Re: Covariance Matrix By: Matthew Argall on Wed, 05 March 2014 05:14
		Re: Covariance Matrix By: haval.js on Mon, 10 March 2014 03:11
		Re: Covariance Matrix By: haval.js on Wed, 05 March 2014 02:39
		Re: Covariance Matrix By: andrei.makeev on Mon, 28 September 2015 11:26

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