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MathGroup Archive 2004

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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


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