Mathematica 9 is now available
Services & Resources / Wolfram Forums
-----
 /
MathGroup Archive
2004
*January
*February
*March
*April
*May
*June
*July
*August
*September
*October
*November
*December
*Archive Index
*Ask about this page
*Print this page
*Give us feedback
*Sign up for the Wolfram Insider

MathGroup Archive 2004

[Date Index] [Thread Index] [Author Index]

Search the Archive

Re: covariance, eigenvalues

  • To: mathgroup at smc.vnet.net
  • Subject: [mg51893] Re: covariance, eigenvalues
  • From: "Steve Luttrell" <steve_usenet at _removemefirst_luttrell.org.uk>
  • Date: Thu, 4 Nov 2004 01:50:39 -0500 (EST)
  • References: <cma08u$8rl$1@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

130 samples of a 15000-dimensional vector are almost certainly far too few 
to estimate the covariance matrix. The exception to this is if the 
15000-dimensional vectors happen to be drawn from a PDF that constrains the 
vectors to live in a very low-dimensional subspace.

Mathematica has plenty of tools to help you do what you want, such as the 
various standard Statistics` packages and the Eigensystem, Eigenvalues, and 
Eigenvectors functions - these functions know how to handle sparse arrays. 
Also you should consider using the SingularValueDecomposition function.

Steve Luttrell

"cagdas" <cagdaskafali at yahoo.com> wrote in message 
news:cma08u$8rl$1 at smc.vnet.net...
> 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
> 



  • Prev by Date: Re: How to force Mathematica to treat a number as positive and real?
  • Next by Date: Re: Re: Hide Mathematica kernel window
  • Previous by thread: Re: covariance, eigenvalues
  • Next by thread: Re: covariance, eigenvalues