Questions tagged [covariance-matrix]
113 questions
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Query for Portfolio VaR in SQL Server
I am trying to get log of share prices (matrix) in SQL Server. The column name are dynamic and have been by applying PIVOT
DECLARE
@cmd AS NVARCHAR(MAX),
@cols AS NVARCHAR(MAX),
@query AS NVARCHAR(MAX)
SET @cols = (SELECT DISTINCT…
Taha Ekram
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Convergence issue using a LMM with random intercepts and slopes per patient, and with a continuous AR1 correlation structure
Without providing a reproducible example (because that converged, and my data did not), my data is in a long format and includes 104 patients of which 304 measurements were taken. Most only have 2 measurements (n=68), followed by 5 (n=32), 4 (n=3),…
tcvdb1992
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Problem with finding covariance matrix for Iris data in R
I keep getting NAs when trying to find the covariance matrix for the Iris data in R.
library(ggplot2)
library(dplyr)
dim(iris)
head(iris)
numIris <- iris %>%
select_if(is.numeric)
plot(numIris[1:100,])
Xraw <-…
Frank Telles
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- 1
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0 answers
Generate numbers on a 2D normal distribution with a given covariance matrix
I want to generate 36 pairs of numbers on a two-dimensional normal distribution with the covariance matrix C = [1, 0.8; 0.8, 1], the expected value vector is the zero vector (μ=0= (0,0)).
From what I've learnt so far, a matrix A with covariance…
Silverlik
- 19
- 4
0
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1 answer
Faster Resampling Daily Covariance Matrix (MultiIndex) from Daily to Minutely
I looked at similar answers but could not find one that suits my problem.
I have a daily covariance matrix that is constructed as a MultiIndex. It has "k" dates, and for each date "k" it has a matrix of size "n" by "n". The dimensions are…
The User
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1 answer
How to calculate the covariance matrix of a pyspark dataframe?
I have a big pyspark data frame with the columns as some products and the rows as its prices over time. I need to calculate the covariance matrix of all the products, but the data is too big to convert to a pandas data frame, so I need to do it with…
Macro433
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How to estimate regression's coefficients defining my own covariance matrix's estimation method or with a given covariance matrix with MATLAB?
Given y the dependent variable nx1 and X the matrix of dimension nxp of independent variables. I am willing to estimate beta coefficients, r-squared, and others linear regression parameters with a given covariance matrix or by defining my own…
Barbab
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1 answer
SAS: create covariance matrix with variables
I am working on a project in which we have to do some simulations. I am now at the point I want to use the RandNormal function, to generate multivariate normal data given a vector of means and a covariance matrix. For the covariance matrix, we have…
Katie
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1 answer
Estimating parameter covariance matrix when fitting a Generalized Extreme Value (GEV) model using 'extRemes' in R
My question is similar to Error with fitting a Generalized Extreme Value (GEV) using `extRemes` in R?. However, I am fitting non-stationary Generalized Extreme Value (GEV) distribution, i.e., when the location parameter depends on covariates and is…
user111092
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1 answer
null aware covariance matrix in KDB
I'm working through Funq by Nick Psaris but need a null aware function for making a covariance matrix. I will use it to create a mahalanobis distance matrix.
He supplies some null aware functions:
navg = null aware avg
nvar null aware var
nsvar =…
Grant Baker
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1 answer
How do I display the covariance matrix from proc glimmix or proc mixed?
I am using proc glimmix and proc mixed to run a linear mixed model and am trying to look at the covariance matrix to see if it looks correct. How do I print it to the results?
Sophia
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SciPi Optimize Curve Fit returns error: OptimizeWarning: Covariance of the parameters could not be estimated
I am trying to apply a model based on this formula:
and so I defined it as a function
def Amp(angular_freq,N,w0,y,c):
return ((N)/(((((angular_freq**2)-(w0)**2)**2)+((y*angular_freq)**2))**0.5))+c
This function is applied to a set of data…
sid2001
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cpp calculate 6x6 Covariance Matrix from two 1x3 arrays
Like title says, I am attempting to calculate the covariance matrix for two 1x3 arrays and get one 6x6 std::array in C++. I need some guidance with my understanding - have looked and not been able to see much in terms of clarity to answer my…
Chip Brommer
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How to build a covariance matrix from eigen vectors wtih the same size
I have 2 eigen vectors sets X and Y with size=(7,7) (so 7 eigen vectors of 7 components).
I am looking for a way to build a covariance matrix from these 2 eigen vectors sets.
In a first time, I did the function :
# Compute covariance between vectors…
user1773603
0
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1 answer
Uncertainties package in Python : use of given covariance matrix to get data uncertainties
I believe that my problem is fairly easy to understand, but I would like to make it very clear, hence the length of this post.
My initial situation, which I sum up below, is similar to the one explained in this post…
Düdzi
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