Covariance Matrix

[DUET]

if X= (3, 5, 7) & Y = (2, 4, 1)

What is the 3x3 covariance matrix for X & Y?

 

[mathman]

if X= (3, 5, 7) & Y = (2, 4, 1)

What is the 3x3 covariance matrix for X & Y?

You have two variables, so the matrix is 2x2. The elements are var(X), var(Y) along the diagonal and cov(X,Y) off diagonal (both).

 

[DUET]

Since 2x2 we need two diagonal elements and two off diagonal elements.

Are the following two elements "off diagonal elements"?

cov(X,Y) & cov(Y,X);

 

[chiro]

Yes they are the off diagonal elements.

 

[DUET]

The covariance between two jointly distributed real-valued random variables x and y with finite second moments is defined as-
1. cov(x,y)=E[(x-E[x])(y-E[y])]

The covariance between two jointly distributed real-valued random vectors x and y (with m and n dimensional respectively) with finite second moments is defined as
2. cov(x,y)=E[(x-E[x])(y-E[y])^T]

What is the difference between #1 & #2?

 

[mathman]

The covariance between two jointly distributed real-valued random variables x and y with finite second moments is defined as-
1. cov(x,y)=E[(x-E[x])(y-E[y])]

The covariance between two jointly distributed real-valued random vectors x and y (with m and n dimensional respectively) with finite second moments is defined as
2. cov(x,y)=E[(x-E[x])(y-E[y])^T]

What is the difference between #1 & #2?

In this context what do you mean by dimensional? X and Y are real valued. Do you mean the number of samples?

 

[DUET]

In this context what do you mean by dimensional? X and Y are real valued. Do you mean the number of samples?

Here is the link:
http://en.wikipedia.org/wiki/Covariance

 

[mathman]

The covariance between two jointly distributed real-valued random variables x and y with finite second moments is defined as-
1. cov(x,y)=E[(x-E[x])(y-E[y])]

The covariance between two jointly distributed real-valued random vectors x and y (with m and n dimensional respectively) with finite second moments is defined as
2. cov(x,y)=E[(x-E[x])(y-E[y])^T]

What is the difference between #1 & #2?

1 refers to real valued (1 dimensional) random variables.
2 is a generalization to vectors (n or m dimensional) which have random variables as components.