Computing a covariance matrix
- To: mathgroup at smc.vnet.net
- Subject: [mg73637] Computing a covariance matrix
- From: eleutheroskaiwraios at googlemail.com
- Date: Fri, 23 Feb 2007 04:44:04 -0500 (EST)
Hi all, I was looking on how to compute a covariance matrix given a set of measurements and I was utterly frustrated having to jump from one discussion group to another and harvesting the web through maths websites having to cope with all sorts of notations. I managed to find a nice example on how to derive a covariance matrix and decided to share it with you :) Go to: "How the stat packages compute a correlation matrix" http://luna.cas.usf.edu/~mbrannic/files/pmet/vcv2.htm It should be quite easy to understand how it is done. It even shows you how to standardise the matrix at the end. I have to emphasize that I am not a math-whiz (however it is spelt), I was looking on how to derive eigenvectors for an image processing/ mathcing application. I have another nice link somewhere about calculating eigen matrices, will post that too. NOTE: this is cross-posted at: sci.math sci.stat.math comp.soft-sys.math.mathematica alt.math.undergrad