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Results tagged with covariance-matrix
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user 243168
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 properly "subtract" a known covariance component from a sample covariance? regression
I have a situation where observed random variables $X_i$ are the sum of two independent (but unobserved) variables, $$X_i = S_i + N_i,$$ (e.g. what you observe is a random signal plus random noise).
I …
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