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Results tagged with covariance
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user 7945
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.
5
votes
3
answers
11k
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Gaussian Process covariance matrix gets zero determinant
Can someone see a problem in the covariance matrix composition that leads to such behaviour? … My Covariance matrix looks like this:
$$ \begin{pmatrix} K(X,X) & K(X_*,X) \\ K(X, X_*) & K(X_*,X_*) \end{pmatrix} $$ …
- 461
4
votes
1
answer
9k
views
Problem with singular covariance matrices when doing Gaussian process regression
My problem: Most of the covariance functions I use result in a singular covariance matrix which is not invertible. … Shouldn't the proposed covariance functions/estimators produce only invertible matrices?
Are there methods or hints for regularizing the matrices? …
- 461