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Re: Covariance Matrix [message #86853 is a reply to message #86851]

Sat, 07 December 2013 09:46

Matthew Argall
Messages: 286
Registered: October 2011

Senior Member

and, by the way, If you are using a single vector, the covariance will never give you a matrix. The covariance is essientially finding the best fit line between a vector and a lagged version of itself. It does that for however many elements are in the "lag" parameter.

If you are looking for a matrix, then take this example. Say you have a vector measuring the period of three different pendulums. If the data is stored in a 3xN array, then you can call the Correlate function. It will output a 3x3 matrix giving the covariance of the three different pendulums.

Calling Correlate() with two vectors is essentially creating a best-fit line between the two vectors and outputting the correlation coefficient. You need to vary the "lag" to get a matrix.

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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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