covariance, eigenvalues

*To*: mathgroup at smc.vnet.net*Subject*: [mg51843] covariance, eigenvalues*From*: cagdaskafali at yahoo.com (cagdas)*Date*: Wed, 3 Nov 2004 01:25:27 -0500 (EST)*Sender*: owner-wri-mathgroup at wolfram.com

Hi, I have a random vector of length 15000 by 1. I have 130 samples of this vector and I would like to estimate the covariance matrix. Is there a built-in function in mathematica to do that ? If there is, can it handle a covariance matrix of size 15000 by 15000? If I can get that matrix the next step is an eigenvalue decomposition. Are there any built-in functions to compute eigenvalues and eigenvectors of a given matrix ? and again, is it possible to use these functions for a matrix of size 15000 by 15000? I would appreciate any suggestions (related to mathematica or some other options) Thanks Cagdas

**Follow-Ups**:**Re: covariance, eigenvalues***From:*Tomas Garza <tgarza01@prodigy.net.mx>

**Re: covariance, eigenvalues***From:*DrBob <drbob@bigfoot.com>