       Re: covariance, eigenvalues

• To: mathgroup at smc.vnet.net
• Subject: [mg51871] Re: [mg51843] covariance, eigenvalues
• From: DrBob <drbob at bigfoot.com>
• Date: Thu, 4 Nov 2004 01:49:14 -0500 (EST)
• References: <200411030625.BAA08378@smc.vnet.net>
• Sender: owner-wri-mathgroup at wolfram.com

```Look up "covariance" and "eigenvalues" in Help.

>> is it possible to use these functions for a matrix of size 15000 by 15000?

Try it and see.

Bobby

On Wed, 3 Nov 2004 01:25:27 -0500 (EST), cagdas <cagdaskafali at yahoo.com> wrote:

>
>
> 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
>
>
>
>

--
DrBob at bigfoot.com
www.eclecticdreams.net

```

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