Videos


Covariance Matrix Of a Random Vector



Definition and example of the covariance matrix of a random vector.

Rating Rating Rating Rating Rating 
Views: 17,814
Added: 5 years
Runtime: 6:24
Comments: 11

Tags for this video:  



Find more videos in the: "Education"
Uploaded by: Neal Patwari
See more videos uploaded by Neal Patwari


Related Videos:

Statistics 101: Understanding Covariance
Rating Rating Rating Rating Rating 
Views: 43794
Statistics 101: Covariance. In this video we discuss the very basics of what covariance is (and isn't) using two real-world examples; stock market...
How To Solve For Covariance
Rating Rating Rating Rating Rating 
Views: 38893
Looking for a tutorial on How To Solve For Covariance? This practical instructional video explains accurately how it's done, and will help you get...
Statistics 101: The Covariance Matrix
Rating Rating Rating Rating Rating 
Views: 26382
Statistics 101: The Covariance Matrix In this video we discuss the anatomy of a covariance matrix. Unfortunately covariance matrices are often...
Discrete Random Matrices -- 2009 Moursund Lectures, Day 3
Rating Rating Rating Rating Rating 
Views: 3775
Terence Tao, 2006 Fields Medal Recipient University of California, Los Angeles Lecture three of a three part series Abstract: The spectral theory...
Multivariate Gaussian Random Vectors - Part 1 - Definition
Rating Rating Rating Rating Rating 
Views: 5721
The definition of a multi-variate Gaussian random vector is presented and compared to the Gaussian pdf for a single random variable as we've...
Sample Covariance and Correlation
Rating Rating Rating Rating Rating
Views: 11468
Calculation of sample covariance and correlation
Simple Covariance Matrix
Rating Rating Rating Rating Rating 
Views: 2627
Stochastic Processes Part 4
Matriz de covarianzas y correlaciones en Excel, 3 formas diferentes de obtenerlas
Rating Rating Rating Rating Rating 
Views: 789
Distintas formas de obtener la matriz de covarianzas en Excel, con el producto de matrices αBB^t, donde B esta formado por columnas de dato -...
Multivariate Gaussian Random Vectors - Part 2 - Properties
Rating Rating Rating Rating Rating 
Views: 2976
Three important properties of a Gaussian Random Vector.
(ML 19.1) Gaussian processes - definition and first examples
Rating Rating Rating Rating Rating 
Views: 10931
Definition of a Gaussian process. Elementary examples of Gaussian processes.
MATRIZ VARIANZA COVARIANZA EN EXCEL
Rating Rating Rating Rating Rating
Views: 8381
Se recomienda ver full HD
Lec-6 Random Vectors Random Processes
Rating Rating Rating Rating Rating 
Views: 5713
Lecture Series on Estimation of Signals and Systems by Prof.S. Mukhopadhyay, Department of Electrical Engineering, IIT Kharagpur. For more details...
How to get portfolio variance/VaR from the covariance matrix
Rating Rating Rating Rating Rating 
Views: 33014
To get portfolio variance, we post-multiply the vector of positions (x) by the covariance matrix, then pre-multiply the transposed vector (x').
Matrix computation with EXCEL.mp4
Rating Rating Rating Rating Rating 
Views: 23611
Matrix Multiplication and inverse with EXCEL
Statistik - Lektion 5: Zusammenhangsmaße
Rating Rating Rating Rating Rating 
Views: 29878
Herzlich willkommen bei den Vodcasts des IUBH Fernstudiums (http://www.iubh-fernstudium.de). In diesem Video zum Kurs "Statstik" des IUBH...
Generating the Variance-Covariance Matrix
Rating Rating Rating Rating Rating 
Views: 70777
This is a follow-up video to a video posted previously by Dr. Colby Wright explaining how to execute mean-variance portfolio optimization in Excel....
Covariance and correlation
Rating Rating Rating Rating Rating 
Views: 11754
This video explains what is meant by the covariance and correlation between two random variables, providing some intuition for their respective...
Kamal haasan Karan Thapar
Rating Rating Rating Rating Rating 
Views: 232852
One of the icons of South Indian Actor, screenwriter, Director, Producer, Dancer, Singer, Artist, Teacher.. Oh dear, and so much more.. Here is an...
Lecture 21: Covariance and Correlation | Statistics 110
Rating Rating Rating Rating Rating 
Views: 10463
We introduce covariance and correlation, and show how to obtain the variance of a sum, including the variance of a Hypergeometric random variable.
Lecture - 15 Correlation Covariance and Related Innver
Rating Rating Rating Rating Rating 
Views: 20473
Lecture Series on Probability and Random Variables by Prof. M. Chakraborty, Department of Electronics and Electrical Communication Engineering,...
Mod-01 Lec-22 Transformations of Random Vectors
Rating Rating Rating Rating Rating 
Views: 2060
Probability and Statistics by Dr.Somesh Kumar,Department of Mathematics,IIT Kharagpur. For more details on NPTEL visit http://nptel.iitm.ac.in
Covariance and the Regression Line
Rating Rating Rating Rating Rating 
Views: 107170
Covariance, Variance and the Slope of the Regression Line More free lessons at: http://www.khanacademy.org/video?v=ualmyZiPs9w
Lec-32 Introduction to Principal Components and Analysis
Rating Rating Rating Rating Rating 
Views: 53605
Lecture Series on Neural Networks and Applications by Prof.S. Sengupta, Department of Electronics and Electrical Communication Engineering, IIT...
Covariance matrix
Rating Rating Rating Rating Rating 
Views: 72567
A covariance matrix, in finance, is a square matrix that contains covariances between portfolio assets. Because, for example, the element in row...
FRM: Correlation & Covariance
Rating Rating Rating Rating Rating 
Views: 175095
Covariance is a measure of relationship (or co-movement) between two variables. Correlation is just the translation of covariance into a UNITLESS...

Comments:

Author Bruno Antunes (4 years)
@armanrainy Thank you for the answer. I got what you told. Actually, my
knowledge’s about statistics are not very good. But I solved the problem
using another way. I realized that I didn’t need do find the covariance
matrix in my case. But, anyway, thank you for the help!

Author vickytruong0509 (2 years)
thank you, very helpful video

Author Natnael Simachew (1 year)
Thank you very much. Big point few words and few minutes.

Author Mohan Vamsi (2 years)
Thank you that was very useful

Author armanrainy (4 years)
@tritile Hi(sorry about my English). I think you didn't get the meaning of
random variables. when we say X it means we have several matrices and it
makes our data set. for example, X is a 3*1 matrix which means three
different experiment results about 3 parameters( like
density,temperature,pressure). When we say X it means we have done this
experiment N times (so we have n 3*1 matrices) and we want to find the
covariance matrix.your matlab result is caused by having just 1
observation.

Author Bruno Antunes (4 years)
@npatwari I'm sorry to bother you For example, I have the vector V=[ 2; 3;
5] so I'll make my matrix M=[2 3 5; 2 3 5; 2 3 5] and then cov(M)? I guess
I dind't understand what you mean, because I tried this way and MatLab gave
me one matrix filled by zeros I'd be glad if you help me thanks

Author slatun (3 years)
You are GOD !!!

Author maeseloger (2 years)
That is some godlike pulse you have to be able to write this with a mouse
in Paint...

Author Bruno Antunes (4 years)
Do you know how to use this function on MatLab? I'm trying to find the
covariance of a vector, but it gives me a single number, not a matrix

Author Neal Patwari (4 years)
@tritile You need many realizations of that vector in order to estimate the
covariance matrix. So, however you measured or came up with that one
vector, do it N times, and then send the cov() function all of the
realizations of the random vector together (in a matrix). Then Matlab will
return a covariance matrix.

Embed Video:

URL 
Link 

Search Video

Top Videos

Top 100 >>>

Videos

Analyse website