All Questions
5 questions
1
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55
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Variance of $X + \alpha^\top Y$ where $X$ is a scalar random variable and $Y$ is a random vector [duplicate]
Consider a scalar random variable $X\in\mathbb{R}$, a vector random variable $Y\in\mathbb{R}^n$ and a constant (non-random) vector $\alpha\in\mathbb{R}^n$. I want to compute
$$
\mathbb{V}[X + \alpha^\...
- 667
1
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0
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100
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Multivariate datasets comparison in R
I would like to compare the variance of two multivariate datasets describing the same population between them (e.g. Covariance) but also the specificity of one dataset regarding the total variance of ...
- 111
1
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0
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1k
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How do you interpret generalized variance?
Per Wiki, generalized variance is the determinant of a covariance matrix: https://en.wikipedia.org/wiki/Generalized_variance
I have heard that if the determinant is small, there is strong correlation ...
- 3,263
0
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1
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377
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solve an argmax problem of two unknowns given covariance matrices
The problem is:
For a pair of random variable $(X,Y)$, where $X \in \mathbb{R}^p$, $Y \in \mathbb{R}^q$, write $\Sigma_{XX}=var(X)$, $\Sigma_{YY}=var(Y)$, $\Sigma_{YX}=cov(Y,X)$.
Define
$(\alpha^*, \...
- 31
2
votes
0
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202
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Comparing variances of vectors
For vectors we can use the covariance matrix which contains the variances per variable and the covariances.
Now I want to compare the variances of multiple point clouds.
It is hard to compare the ...
- 121