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MathGroup Archive 2004

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Re: covariance, eigenvalues

  • To: mathgroup at smc.vnet.net
  • Subject: [mg51911] Re: covariance, eigenvalues
  • From: Bill Rowe <readnewsciv at earthlink.net>
  • Date: Thu, 4 Nov 2004 01:51:55 -0500 (EST)
  • Sender: owner-wri-mathgroup at wolfram.com

On 11/3/04 at 1:25 AM, cagdaskafali at yahoo.com (cagdas) wrote:

>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?

There is a function CovarianceMatrix in the package Statistics`MultiDescriptiveStatistics` which will probably do what you want. I belive you will find the limitations on the size of matrix that can be computed are not set by Mathematica but by the speed of your machine, the amount of installed memory etc.

>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?

Yes, there are built-in functions to compute the eigenvalues and eigenvectors called Eigenvalues and Eigenvectors. The size of matrix that can be handeled will depend on your system (installed ram, cpu speed etc)
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