Linked Questions
11 questions linked to/from Diagnostic plot for assessing homogeneity of variance-covariance matrices
187
votes
10
answers
126k
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Bottom to top explanation of the Mahalanobis distance?
I'm studying pattern recognition and statistics and almost every book I open on the subject I bump into the concept of Mahalanobis distance. The books give sort of intuitive explanations, but still ...
- 5,907
41
votes
4
answers
40k
views
Measures of similarity or distance between two covariance matrices
Are there any measures of similarity or distance between two symmetric covariance matrices (both having the same dimensions)?
I am thinking here of analogues to KL divergence of two probability ...
- 3,091
14
votes
3
answers
4k
views
How to test whether a covariance matrix has changed over two time points?
My task is to test if there's change in covariance matrix of 6 variables. Values of 6 variables are measured twice from same subjects (3 years between measurements).
How can I do that? I've been ...
- 261
14
votes
2
answers
8k
views
How to compare two or more correlation matrices?
I have $P$ correlation matrices $(n \times n)$ computed with $P$ sets of $(m \times n)$ data (observed) using the MATLAB function corrcoef.
How do I compare and ...
- 243
11
votes
3
answers
8k
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How to extract information from a scatterplot matrix when you have large N, discrete data, & many variables?
I'm playing around with the breast cancer dataset and created a scatterplot of all attributes to get an idea for which ones have the most effect on predicting the class ...
- 481
8
votes
2
answers
3k
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Plotting Correlation Matrix over time
From your experience, do you have any suggestions for representing time-wise changing correlation matrices? I looked at https://quant.stackexchange.com/questions/1565/how-do-i-graphically-represent-...
- 243
5
votes
2
answers
2k
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Statistical comparison of (covariance) matrices
I am trying to test whether the covariance matrix for the maximum likelihood estimates for a gaussian general linear model approaches the inverse Fisher information matrix (times 1/n , n being the ...
- 173
3
votes
1
answer
737
views
Visualising scatterplot with too many points and two or more groups
I am trying to plot data with a large number of points. The goal is to see the basic distribution - location, dispersion, shape - of the observations.
With a simple scatterplot, even with low ...
- 171
1
vote
1
answer
2k
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R - How to compare two correlation matrices
I have two correlation matrices coming from the same variables (divided into two groups due to the presence of a particular event). I would compare these two matrices to show the differences in ...
- 23
2
votes
1
answer
193
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Distance of a covariance matrix from a perfect 1:1 relationship
I have a number of estimated variance-covariance matrices, and I would like to know how different these are from a perfect 1:1 relationship. To be specific:
They are (genetic) variance-covariances ...
- 296
0
votes
0
answers
117
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Evaluate relative quality of covariance matrix relative to a set
My ultimate goal is a way to evaluate a group of "m" covariance matrices (all size n*n) so I can pick an arbitrary one and calculate "this one is tighter than the average covariance ...
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