- 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
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
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