Weighted Covariance: Calculating 3x3 Matrix with Point Weights

  • Thread starter Thread starter preet
  • Start date Start date
  • Tags Tags
    Covariance
AI Thread Summary
To calculate a weighted covariance matrix for a 3x3 matrix of (x,y,z) coordinates, it is essential to incorporate the weighting values into the covariance formula. The standard covariance calculation does not account for weights, which can skew results if not adjusted. The discussion references a Wikipedia link that outlines the weighted covariance formula, but there is a request for clarification on its derivation. Understanding how to integrate weights into the covariance calculation is crucial for accurate analysis of the data set. Further assistance in breaking down the equation is sought to enhance comprehension.
preet
Messages
96
Reaction score
0
Hi All,

I have a data set consisting of (x,y,z) coordinates. I can calculate the covariance between them just fine. Calculating all the covariances between the three variables gives me a nice 3x3 matrix. However, the points have a weighting value as well. I don't know how to account for the point weights in the normal covariance formula.

I would appreciate any advice.


Regards,

-Preet
 
Physics news on Phys.org
Thank you. I had seen that link... I don't understand how the equation in the provided link was derived. I we hoping someone could help flesh it out.
 

Thread 'Formal derivation of statement from Peano Arithmetic system'

I was reading a Bachelor thesis on Peano Arithmetic (PA). PA has the following axioms (not including the induction schema): $$\begin{align} & (A1) ~~~~ \forall x \neg (x + 1 = 0) \nonumber \\ & (A2) ~~~~ \forall xy (x + 1 =y + 1 \to x = y) \nonumber \\ & (A3) ~~~~ \forall x (x + 0 = x) \nonumber \\ & (A4) ~~~~ \forall xy (x + (y +1) = (x + y ) + 1) \nonumber \\ & (A5) ~~~~ \forall x (x \cdot 0 = 0) \nonumber \\ & (A6) ~~~~ \forall xy (x \cdot (y + 1) = (x \cdot y) + x) \nonumber...
View full post »

Similar threads

I Correlations vs. negligence of correlations in a covariance matrix
Replies
14
Views
2K
A Covariance matrix for transformed variables
Replies
5
Views
2K
I Weird covariance matrix for linear fit
Replies
1
Views
1K
I Fisher matrix - equivalence or not between sequences
Replies
3
Views
2K
Covariance matrix with asymmetric uncertainties
Replies
5
Views
3K
I Scaling covariance for an error calculation
Replies
9
Views
2K
I Conf.intervals for fitted parameters: divide by sqrt(n)?
Replies
7
Views
2K
I Data from Normal D is Uncorrelated?
Replies
2
Views
1K
Physical significance of eigen vectors of Covariance matrix
Replies
2
Views
3K
Negative eigenvalues in covariance matrix
Replies
3
Views
3K

Hot Threads

Recent Insights

Back
Top