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Generating covariance matrices as defined in MATLAB

  1. Jul 12, 2012 #1
    Hi, I'm fairly new to matlab and I was wondering if you guys could help me out. If I have an N*N matrix, C where the (k,l)-entry is defined as:
    http://a3.sphotos.ak.fbcdn.net/hphotos-ak-ash3/556394_10151031836051952_2120388553_n.jpg [Broken]

    Where x_i is from an N-vector where x_i is normally distributed with 0 mean and variance 1. So x_i ~ N(0,1).
    And so the vector, x= [x_1 x_2 ... x_N] = [ randn randn ... rand]

    For the case N=3, we have
    http://a5.sphotos.ak.fbcdn.net/hphotos-ak-ash3/532427_10151031836071952_2140805136_n.jpg [Broken]

    and x= [x_1 x_2 x_2] = [randn randn randn].

    So the (1,2)-entry of C, is: http://a2.sphotos.ak.fbcdn.net/hphotos-ak-snc7/417729_10151031836006952_1450809886_n.jpg [Broken]
    which equals (if worked out) (1/3)*[(x_1)*(x_2) + (x_2)*(x_3)]

    We can work out all the other entries of C and then get a 3*3 matrix.

    All of this I can do my hand but what I want Matlab to do this task but for N=30.

    So here x=[x_1 x_2 ... x_30] = [randn randn ... randn]
    I need a code to generate my 30*30 matrix C from such set x_i's with the defintion above (N replaced by 30 of course). Does anyone know how I go about doing this?

    EDIT: If it helps at all, the diagonal entries are always the same, it is always (1/N)*[(x_1)^2 + (x_2)^2 + ... + (x_N)^2]
    and the matrix, C is always symmetric. I would appreciate any help on this; I need to generate these random matrices for a maths project of mine.
     
    Last edited by a moderator: May 6, 2017
  2. jcsd
  3. Jul 14, 2012 #2

    jhae2.718

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