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Covariance Matrix Of a Random Vector



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

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Comments:

Author Bruno Antunes (3 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 (1 year)
thank you, very helpful video

Author Natnael Simachew (10 months)
Thank you very much. Big point few words and few minutes.

Author Mohan Vamsi (1 year)
Thank you that was very useful

Author armanrainy (3 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.

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