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Throughout this article, boldfaced unsubscripted and are used to refer to random vectors, and Roman subscripted and are used to refer to scalar random variables.. If the entries in the column vector = (,, …,) are random variables, each with finite variance and expected value, then the covariance matrix is the matrix whose (,) entry is the covariance [1]: 177 ...
Another generalization of variance for vector-valued random variables , which results in a scalar value rather than in a matrix, is the generalized variance (), the determinant of the covariance matrix. The generalized variance can be shown to be related to the multidimensional scatter of points around their mean.
The observations on the dependent variable are stacked into a column vector y; the observations on each independent variable are also stacked into column vectors, and these latter column vectors are combined into a design matrix X (not denoting a random vector in this context) of observations on the independent variables. Then the following ...
A vector or tangent vector, has components that contra-vary with a change of basis to compensate. That is, the matrix that transforms the vector components must be the inverse of the matrix that transforms the basis vectors. The components of vectors (as opposed to those of covectors) are said to be contravariant.
The sample mean and the sample covariance matrix are unbiased estimates of the mean and the covariance matrix of the random vector, a vector whose jth element (=, …,) is one of the random variables.
This algorithm can easily be adapted to compute the variance of a finite population: simply divide by n instead of n − 1 on the last line.. Because SumSq and (Sum×Sum)/n can be very similar numbers, cancellation can lead to the precision of the result to be much less than the inherent precision of the floating-point arithmetic used to perform the computation.
In this case, there is not just a sample variance for each variable but a sample variance-covariance matrix (or simply covariance matrix) showing also the relationship between each pair of variables. This would be a 3×3 matrix when 3 variables are being considered.
With any number of random variables in excess of 1, the variables can be stacked into a random vector whose i th element is the i th random variable. Then the variances and covariances can be placed in a covariance matrix, in which the (i, j) element is the covariance between the i th random variable and the j th one.