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Matlab Covariance Matrices
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| Bob Conroy 2005-04-25, 8:59 pm |
| Hi there, I have been experimenting today with Matlabs cov function
to produce covariance matrices ... it seems to consistently produces
results where each element is exactly scaled 1.5 times the value I
work out on paper. I was hoping someone could give me and indication
why this maybe?
I am calculating the matrices according to the common method
presented by places such as wikipedia etc. Thanks.
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| Tom Lane 2005-04-25, 8:59 pm |
| > Hi there, I have been experimenting today with Matlabs cov function
> to produce covariance matrices ... it seems to consistently produces
> results where each element is exactly scaled 1.5 times the value I
> work out on paper.
Bob, are you working on a matrix with three rows?
[color=darkred]
ans =
1[color=darkred]
ans =
0.666666666666667
The first one is computing an unbiased estimate of the variance of the
population from which the vector was taken. It uses n-1 in the denominator
of the variance formula, where n is the number of observations.
The second one is computing the variance as if the vector represents the
entire population. It uses n in the denominator. Their ratio, of course,
is 3/2 for a sample of size 3.
-- Tom
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| Bob Conroy 2005-04-26, 4:06 am |
| excellent thanks that clears my problem up. Much appreciated.
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