This would be a 3×3 matrix when 3 variables are being considered. The sample covariance is useful in judging the reliability of the sample means as estimators ... Definition of sample covariance · Weighted samples |
By definition, S11 is the sample covariance of ~X(1) and S22 is the sample covariance of ~X(2). Here S12 is referred to as the sample cross covariance ... |
Covariance matrix is a square matrix that displays the variance exhibited by elements of datasets and the covariance between a pair of datasets. |
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In both SPC and empirical modeling applications, the sample covariance matrix, S xx =(n−1) −1 X T X , and its inverse, often form the basis of the statistics ... |
24 окт. 2024 г. · If x is a nobs-by-n matrix, then cov(x) returns the n-by-n sample covariance matrix of the columns of x, normalized by nobs-1. Here, each column ... |
products of random matrices (a random Fisher matrix is the product of a sample covari- ance matrix by the inverse of another independent sample covariance ... |
When the sample covariance matrix S has a Wishart distribution, many invariant tests are functions of the characteristic roots of S. |
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