Questions tagged [covariance-matrix]
113 questions
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How to roll-over an explicitly defined covariance matrix?
I defined a weighted COVAR matrix. Now I am trying to roll it over time.
That is, I want to obtain a weighted COVAR matrix with a rolling window of 60.
As an example, I will take the population covariance matrix:
def cm(data):
data =…
Max
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Pandas Covariance Matrix
I have an array, but I need to transform it into an 11x11 matrix, how to do this?
d = {'Ambev': retornoAmbev, 'Bardell': retornoBardell,
'Bombril': retornoBombril,'Braskem': retornoBraskem,
'Petrobras': retornoPetrobras,'Vale':…
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Covariance matrix between 2 assets over a specific time horizon
I have to compute the inverse of the covariance matrix [variance covariance covariance variance] between 2 assets (SPY and TLT) over the time horizon 2006 2010
I did this
ret1=diff(SPY1) %2006-31/12/2009 of log of…
Tommaso Dellolmo
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Covariance of Matrix in python
I want to find the covariance of a 10304*280 matrix (i.e 280 variable and each have 10304 subjects) and I am using the following numpy function to find this.
cov = numpy.cov(matrix)
I am expected 208*280 matrix as a result but it returned …
Syed Fahad Bukhari
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How to create a N = 1000 , 2 dimensional 2 classes dataset given mean = [-8,8]T, covariance = [ [0.3 1.5] [1.5 9.0] ]
Generate a 1000 two-dimensional dataset, X that is of two classes and plot. The 1
500 data vectors are modeled by the Gaussian distribution with mean, m1 = [ 8, 8]
T
and the rest 500 data vectors are modeled by the Gaussian distribution with…
Akashdeep Singh
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starting with a lavaan SEM model, cor2cov does not reproduce the original cor matrix
I created a SEM model in lavaan that produced a good fit to my data. I inspected the resulting covariance matrix using:
cov1 <- lavInspect(my_fit, what="fitted")$cov
which produced this matrix (the variables themselves are not of interest)
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steve---g
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Does Eigen have solution for repair non-positive defined covariance matrix
Does Eigen contains an algorithm for solving nearest correlation matrix problems?
Gluttton
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