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Results tagged with covariance
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user 8101
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.
6
votes
1
answer
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Function to convert arithmetic to log-based covariance matrix?
Is there a function in R that will take the mu and Sigma of an arithmetic-covariance matrix and return the mu and Sigma of a log-based covariance matrix? … I have the code for a function implementing the reverse -- from log-covariance to linear covariance -- in R (pasted below in case this is helpful). …
- 3,091
2
votes
1
answer
6k
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How to compute an exponentially weighted covariance matrix function in R? [closed]
Is there a function the calculates an exponentially weighted covariance matrix in R?
I recall seeing a function some time ago... I cannot turn up any thing in "R Search" or Task View pages. …
- 3,091
4
votes
0
answers
424
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Technique to remove factor structure from panel data
Naturally I can express this factor structure using a covariance matrix - or a set of eigenvectors and corresponding eigenvalues. …
- 3,091