Activity in English III Court
Activity in English III Court
Activity in English III Court
4510
Example:
It follows that:
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.
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.
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):
References
https://www.youtube.com/watch?v=yQdWLJSWa2o