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Questions tagged [covariance-matrix]

113 questions
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Applying 'clustering functions' to a series of linear models

I want to iterate over a list of linear models and apply "clustered" standard errors to each model using the vcovCL function. My goal is to do this as efficiently as possible (I am running a linear model across many columns of a dataframe). My…
Thomas Bilach
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Application of a multi-way cluster-robust function in R

Hello (first timer here), I would like to estimate a "two-way" cluster-robust variance-covariance matrix in R. I am using a particular canned routine from the "multiwayvcov" library. My question relates solely to the set-up of the cluster.vcov…
Thomas Bilach
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DataFrame to breeze DenseMatrix in spark using scala

I'm trying to convert a dataframe to a breeze dense matrix using scala. I couldn't find any built-in functions to do this, so here's what I'm doing. import scala.util.Random import breeze.linalg.DenseMatrix val featuresDF = (1 to 10) .map(_ =>…
rasthiya
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Non-conformable arrays | Error calculating T squared | R

I am trying to calculate T squared. I have the following parameters: > invS #inverse variance covariance matrix x1 x2 x1 0.005536320 -0.001167908 x2 -0.001167908 0.002635186 > n # number of rows [1] 11 > d_mean x1 …
Feyzi Bagirov
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Reducing calculation time and requirements for large covariance matrix

I currently am trying to calculate a covariance matrix for a ~30k row matrix (all values are in range of [0,1]), and its taking a very long time (I have let it run for over and hour and it still hasn't completed). One thing i noticed on smaller…
DrTchocky
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Horizontal legend for a covariance matrix plot

I am trying to construct a 2D perspective plot of a covariance matrix in R. A reprex code is below nrows <- 10 ncols <- 10 p <- nrows * ncols Qvariance <- 1 Qrho <- 0.8 alpha <- matrix(rep(1:p, p), nrow = p, ncol = p) JJ <- (alpha - 1) %% nrows +…
Ash
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Why the result of Qt estimate of fitSSM function in KFAS package is negative?

I have this following model, I want to estimate the matrix of Ht and Qt using 200 random initialization using multivariate uniform distribution, then choosing the maximum likelihood. I try this following code, and got Qt as negative value…
Muhammad Umar Abdullah
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Error message in R after conducting ANOVA

I want to conduct a mixed ANOVA in R with three factors (factor group and age_group are between subjects, factor test_interval is within subject) and used the aov-function of the "car" package. So the Model I generated is: Model <-…
Lin29
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Lagged Covariance functions in R are extremely slow

I am trying to estimate the lagged covariance between two vector. I have used gsignal::xcov, forecast::Ccf and stats::ccf. My code has several nested loops so computing time is pilling up, with gsignal::xcov being the fastest but still extremely…
Orestis
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Find Covariance and Correlation of Joint Probability Distribution in Python

If I'm given a joint distribution of 2 random variables say A and B, how would I find the covariance of A,B? (I have known to calculate E_X, E_Y, E_XY and apply formula, what I want to find library that calculate directly Cov(X,Y) without…
NamNguyen
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Problem with Matlab multivariate normal distribution (mvncdf)

I want to create a normal distribution with a MU = 0 and SIGMA = cov(A); A is a 4000*5460 matrix. I get this error: SIGMA must be a square, symmetric, positive definite matrix. Since the error is related to the Cholesky transformation and negative…
Fatemeh
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Wrong VCOV matrix from sandwich::vcovHC with observation counts in R

I am trying to estimate a weighted LM with repeated observations. Naturally, one can exploit this redundancy information to save space and memory. I am working on an application with 400k observations, many of which are duplicated, and said LMs (and…
Andreï V. Kostyrka
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Why does a RBF kernel fail to produce a positive-definite covariance matrix?

I am currently trying to use Gaussian Process Regression to build a model for a prediction task. The training set contains 100 data points (each data point has 11 features and 1 response value), which can be written as [X y], where the…
Donke_F
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Understanding variance calculations in scipy.optimise.curve_fit

I'm trying to use Scipy's scipy.optimise.curve_fit to calculate the parameters for a non-linear least squares fit of my data to a function. I have 2-3 response values for each value of my explanatory variable. Each of these individual response…
damtheduck
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How to a create a covariance matrix starting from 30 separate data frames?

I need to do a research on defining the efficient frontier of a portfolio containing all the stocks of the mib30 index (highest by market share stocks in the Italian stock exchange FTSE MIB). I have started by downloading all the closing prices (30…
kimnara
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