# Questions tagged [covariance-matrix]

A $k\times k$ matrix of covariances between all pairs of $k$ random variables. It is also called variance-covariance matrix or simply the covariance matrix.

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### How to find covariance matrix [duplicate]

I have some trouble understanding the concept of a covariance matrix. I want to find the covariance of a and b Cov(a,b). I have a random vector y=(y1, y2, y3)' with mean vector and covariance matrix ...
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### How to obtain the covariance matrix from two regression model (for estimating 95% CI using delta method)?

I am trying to estimate the 95% CI for a function using delta method. Let say this function is t1/t2 In the case that t1 and t2 come from the same regression model, I can estimate the 95% CI using the ...
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### If we have a covariance matrix $X$, what does $(X'X)^{-1}$ result in? [closed]

As the title states. Is there any significance behind this matrix? Is there a name? Does it give any information that is not present in the first matrix?
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### convergence of sample covariance matrix in case sample size depends on dimesion

Let $X_1,X_2,\dots,X_n$ be random sample from $\mathcal{N}_p(\mathbf{0},\mathbf{\Sigma})$ and put $\mathbf{S}=\frac{1}{n}\sum_{i=1}^nX_iX_i^t$, which is sample covariance matrix. If $p<n$, it is ...
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### Variance of regression coefficients difference - approximating covariance

I have a following question. Let’s assume that we have a following linear model: $y = b_1x_1 + b_2x_2 + … + b_nx_n + b_m$ I would like to find a difference between coefficients with its accompanying ...
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### VAR model and robust estimators of covariance matrix

I have a VAR(2) model which has autocorrelations (since lag = 8 mostly), even when number of lags for this model are bigger. I got and advice that robust estimators of covariance matrix will help with ...
I was looking into the geometric interpretation of random variables as random vectors in a vector space. The textbook I'm referring to defined $\operatorname {Cov}(X,Y)$ as the inner product for any ...