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Results tagged with covariance
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user 11151
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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Stability precision matrix under small changes in covariance
I am trying to understand how the precision matrix changes under the influence of small changes in the covariance matrix. … As a result, the covariance matrix is only slightly different for different samples, as is the inverse.
But is this always the case? …
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Can near zeros in precision matrix be treated as zeros?
A zero entry in the precision matrix (the inverse of the covariance matrix) means the corresponding variables are independent given all the other variables. …
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Can near zeros in precision matrix be treated as zeros?
Finding the covariance matrix that fits the data and has a conveniently large number of zero entries in it's inverse matrix is known as Covariance Selection (1). … Covariance Selection Biometrics, 1972, 28, 157-175
2) P. Olsen, F. Oztoprak, J. Nocedal and S. Rennie; Sparse Inverse Covariance Estimation; Summer Tutorial at IBM TJ Watson Research Center 2012 …
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Is a covariance matrix composed of matrixes derived from separate samples guaranteed to be p...
Based on this i can pool the descriptive statistics in one large covariance matrix. … a valid covariance matrix? …
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