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    Activity in English III Court

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    maria alejandra pinzon murcia
    The document discusses how to calculate covariance using random vectors, how means and covariances can be organized into vectors and matrices, and that the column vector of a random vector's mean is equal to the sample means. It also explains that the sample variance-covariance matrix allows estimating the population variance-covariance matrix from sample data and is useful for characterizing multivariate normal distributions.

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    Activity in English III Court

    Uploaded by

    maria alejandra pinzon murcia
    15 views3 pages
    The document discusses how to calculate covariance using random vectors, how means and covariances can be organized into vectors and matrices, and that the column vector of a random vector's mean is equal to the sample means. It also explains that the sample variance-covariance matrix allows estimating the population variance-covariance matrix from sample data and is useful for characterizing multivariate normal distributions.

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    The document discusses how to calculate covariance using random vectors, how means and covariances can be organized into vectors and matrices, and that the column vector of a random vector's mean is equal to the sample means. It also explains that the sample variance-covariance matrix allows estimating the population variance-covariance matrix from sample data and is useful for characterizing multivariate normal distributions.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    15 views3 pages

    Activity in English III Court

    Uploaded by

    maria alejandra pinzon murcia
    The document discusses how to calculate covariance using random vectors, how means and covariances can be organized into vectors and matrices, and that the column vector of a random vector's mean is equal to the sample means. It also explains that the sample variance-covariance matrix allows estimating the population variance-covariance matrix from sample data and is useful for characterizing multivariate normal distributions.

    Copyright:

    © All Rights Reserved
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    Download as docx, pdf, or txt
    of 3

    Jennifer Andrea Pardo – ID.

    4510

    Theme: Activity in English III Court

    Based on the video, answer the following questions?

    1. How is the covariance calculated, using random vectors?

    Covariance is a measure of the linear relationship between two variables:

     Cov (X, Y) = E (X - E[X]) (Y - E [Y]) = E [XY] – E [X] E[Y].

    It is calculated taking into account the properties of covariance:

     if X and Y are independent, Cov (X, Y) = 0 (E [XY] =E [X] E[Y]).


     Cov (X, Y) = 0 does not imply that X and Y are independent.
     Cov (aX + b, cY + d) = ac Cov (X, Y).

    Example:

    It follows that:

    E (X1 X2) = 0.2

    E (X1) = 0.8

    E (X2) = 0.4

    Therefore:

    Cov (X1, X2) = E (X1X2) - E (X1) × E (X2) = 0.2 - 0.8 × 0.4 = -0.12.

    According to the above it can be concluded that:

     When there is a high probability that large values of X are associated with large
    values of Y, and small values of X are associated with small values of Y, the
    covariance will be positive.
     And if there is a high probability that large values of X are associated with small
    values of Y and vice versa, the covariance will be negative.
     When there is no linear relationship between variables X and Y, the covariance
    between them is 0, that is, X and Y are uncorrelated variables.

    It is important to note that the covariance takes into account only linear
    relationships.
    2. ¿We can organize the means and covariances into vectors and
    matrices?

    Yes. Since Cov (X, Y) =E [XY]-E [X] E [Y] =E [Y X]-E [Y] E [X] = Cov (Y, X), it is
    evident that the covariance matrix is the Σ X is a symmetric matrix, i.e., it verifies ΣX′
    =ΣX

     Furthermore, it can be shown that the variances and covariances matrix of any
    random vector is positive semidefinite. of any random vector is positive
    semidefinite.

    For two-dimensional random variable:

    The variances and covariances matrix is:

    Example:

    Therefore, the vector of means and the matrix of variances and covariances of the
    vector (X1, X2) are, respectively:
    3. If we have a mean vector of a random vector X, what is the column
    vector equal to?

    To (P) columns, i.e. the data of an am. A.S of the variable X = (x (1), . . .., x(p)). or
    when one is The values of the random vector for each individual (row of the matrix):

    Two key statistics will be calculated from this matrix:

     The vector of sample means xt = 1/n -→1tX, which is a linear transformation of


    the data matrix and allows to obtain the estimate of the vector of means -→µ.

     The sample variance-covariance matrix which is a matrix


    transformation of the data matrix and allows to obtain the estimate of the
    matrix variance-covariance matrix of the v. a. Σ.

    The centring matrix, Hn = In - 1/n -→1n-→1nt = In -- →1n(- →1nt- →1n)-1-→1nt, will


    be very useful in its calculation. variable. This centring matrix has two important
    properties

    p-dimensional normal distribution.

    References

     https://www.youtube.com/watch?v=yQdWLJSWa2o

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