# Questions tagged [covariance]

Covariance is a quantity used to measure the strength and direction of the linear relationship between two variables. The covariance is unscaled, & thus often difficult to interpret; when scaled by the variables' SDs, it becomes Pearson's correlation coefficient.

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### How do I calculate the expected values if the correlation coefficients are -1/0/+1? [closed]

How do I calculate the expected values if the correlation coefficients are -1/0/+1? I know that -1 means backwards correlation and so on but I just need an example.
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### Determining Values of Parameters so that Observation Equation is Stationary

Consider a system process given by $x_t=-0.9x_{t-2}+z_t$,$t=1,2,…,n$ with observation $y_t=x_t+v_t$ where ${z_t}$ and ${v_t}$ are independent white noise with variances $σ^2$ and $σ_v^2$. Assume that ...
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### Non-parametric measures of covariance?

We have non-parametric measures like Spearman's correlation and Kendall's correlation in addition to Pearson's correlation. What about covariance? I guess one can normalize the variables to have zero ...
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### Adjust SEM model for age, BMI, and year of education in Lavaan [closed]

I am doing SEM in Lavaan. I have the following latent factors (all continuous) IL6 Brain IQ My outcome is centered_POMS_total (continuous) This is my unadjusted model #Structural model ...
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### How do I calculate the weighted variance, $\sigma^2$, of a set of $N$ random variables considering their correlation $\rho$? [duplicate]

In a finance textbook of mine, there is an equation for calculating the variance $\sigma^2$ of a portfolio of two risky assets (i.e. random variables) $X$ and $Y$ by considering the correlation $\rho$ ...
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### Covariance matrix of multivariate normal when negative values are made zero

Let $x$ be $n$ dimensionally multivariate normally distributed with mean $\mu$ and covariance matrix $\Sigma$. Now let $y$ be random variables defined by \begin{equation} y_i= \begin{cases} 0, ...
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### Detecting multivariate outliers with Minimum covariance discriminant and mahalanobis distance

I've read in some papers (such as this) and CrossValidated questions (such as this, that people are using mahalanobis distance based on robust estimations of location and scatter using minimum ...
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### Computing the Autocorrelation Function of a Particular Moving Average Series

For a moving average process of the form $$x_t = w_{t-1} + 2w_t + w_{t+1}$$ where $w_t$ are independent with zero means and variance $\sigma^2_w$, determine the autocovariance and autocorrelation ...
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