For questions about correlation of two random variables. Use it with [tag: random-variables] and [tag: probability].

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17 views

Limit of correlation function using transfer-matrix method

This question is about a stochastic process theory. I really very bad in this topic. That's why I have to ask for help. I may mistranslate some terms but I'll do my best to give you right information. ...
0
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0answers
16 views

Minimize correlation between input and output of a linear system

I am not sure if "minimize correlation" is the right title for this issue but I could not find a better sentence to describe what I would like to achieve. Let's say that I have a black box with ...
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1answer
32 views

Why is my phase correlation not equal to the real correlation?

If I understand the correlation theorem correctly, it states: $ f(x,y) \unicode{x2606} \bar g(x,y) = \mathfrak{F}^{-1} \left\{ F^*(u,v) G(u,v) \right\}, $ also called a phase correlation. Above ...
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21 views

correlation coefficient and variation [closed]

If the correlation co-efficient is 0.81, how much of the variation in the independent variable is explained by the variation of the independent variable to the nearest %?
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1answer
11 views

Does correlation (PMCC) require variables to be normal

When calculating product moment correlation coefficient between two variables, say height and weight, is it necessary that the variables are normally distributed for the PMCC to be valid/relevant. ...
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1answer
15 views

Statistics for correlations with many (0,0) values

Suppose you have a large but finite collection of tweets. You want to know whether talking about football tends to correlate with talking about basketball. You can generate a table for a few hundred ...
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27 views

Generate Correlated Pareto Random Variables [closed]

Please I want to generate a correlated vector of samples from the Pareto distribution : how mathematically can we generate corrolated samples? the pdf is: f(x) =$ \frac{a \, b^a}{x^{a + 1}}, \quad ...
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0answers
11 views

Question about the relationship between correlations

I am trying to figure out the relationship between correlations of variables where one of the variables defined as the difference between two other variables. I have variables x and z, which are ...
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0answers
22 views

problem about graph of auto-correlation for wide-sense stationary process?

I have the answers but I don't understand the idea and how it can be solved ? please clarify and help me to understand it thank you all
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1answer
20 views

Finding peaks and oscillations in a signal

I am working on a problem where I'm analysing a signal and trying to find a measure of whether a roughly Gaussian shape appears or oscillations - though the oscillations may not be periodic. For ...
1
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1answer
23 views

Law of large numbers with correlated variables

My sample is a series of measurements of the variable $x$. Measurement t, $x_{t}$, is correlated with $x_{t-n}$. However, as n tends to infinite the correlation tends to zero. If the sample grows, ...
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2answers
30 views

Correlation in scatter plot

This may be a very basic matter for statisticians, but I still have no intuition for this sort of thing. Here goes: I have two quantities (the nature of which is irrelevant) which I suspect to be ...
0
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0answers
23 views

explanation : Example of Gaussian random process?

Can any one explain to me how to answer the question and what is the Gaussian random process in a simple way. I know how we find the C xx from R xx the rest of the answer I don't understand why all ...
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0answers
16 views

Correlation/Regression for Continuous and Discrete data

I want to correlate a data where one axis is continuous (ranging from 0 to 1), other axis is discrete. Discrete axis scale is 1 to 5 (1 is for Strongly Disagree and 5 is for Strongly agree). How ...
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0answers
27 views

Calculation the Correlation Matrix of a Random Observation Vector

I've googled and looked around on StackExchange but I can't quite find the answer. I'm trying to calculate the correlation matrix R. Below I've included a screenshot of some text that explains how. ...
0
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0answers
18 views

The correlation between alpha and beta

Consider the following 2-variable linear regression where error $e_i$'s are independently and identically distributed with mean 0 and variance 1; $$ y_i=\alpha + \beta (x_i - \bar {x}) + e_i$$ where ...
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0answers
17 views

How to convert principal components of a $2\times2$ covariance matrix into principal components of a correlation matrix

All, I am wondering if there is any way to mathematically express the change in direction of the principal components from the $2\times2$ covariance matrix to the correlation matrix. In other words, ...
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0answers
32 views

Data analysis: How did people beat the Great Hall game?

This is the game: There is a Great Hall with 102 doors. 100 of these doors lead to one of 100 different side rooms. The 101st door, at the end of the Great Hall leads to the Great Tower, where ...
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0answers
9 views

Is there any reason that cross correlation would perform well or poorly on sparse binary arrays?

I am using matlabs xcorr to correlate simulated photon count data that has some Gaussian random noise set on top of it and it is working fine when the average value in the arrays is greater than one ...
0
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1answer
22 views

Which type of correlation should I use?

I am beginner in statistics. I have excel table with few columns. I would like to find correlation between the variables. I have to make an essay to my boss and he wants concrete answers. I searchin ...
3
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1answer
89 views

How to curve fit an unknown function?

I have data which can be described by $y=f(x,z)$ where $z$ varies from 170 ~ 154. Now values given by $ks$ are known sample values that equals value given in the table header, $uks$ are unknown ...
0
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1answer
26 views

Is it valid to get a correlation between moving averages?

I have a 10 day moving average of one set of return data for one stock and a ten day moving ave of another stock. 400 data points and correlating 390. Can I now get a correlation between the two or ...
0
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0answers
23 views

Relationship between distributions of correlations $\rho(X^1,Y^1)$ and $\rho(X^2,Y^2)$ if $X^2=WX^1$, $Y^2=WY^1$ and $W$ is a known stochastic matrix?

I have been stacked for a while with the following problem: Consider two samples of iid observations $X^1=\{X_1^1,\dots,X_n^1\}$ and $Y_1=\{Y_1^1,\dots,Y_n^1\}$ where $X_i^1 \sim \mathcal{N}(0,1)$ and ...
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0answers
27 views

Independent and Identically Distributed Probability Question

Let $\{X_a\}_{a\in \mathbb{Z}}$ be i.i.d random variables with mean $0$ and unit standard deviation. For $\left(d_0, d_1, d_2, \dots, d_k\right)$, a sequence of $k$ real numbers and $b\in ...
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0answers
19 views

Let $U=2X$ and $V=-3Y$. Find Correlation (U,V) given Correlation $(X,Y)=0.8$.

Let $U=2X$ and $V=-3Y$. Find Correlation (U,V) given Correlation $(X,Y)=0.8$. My Steps: $$\begin{align} Correlation (U,V) & = \dfrac{Cov(U,V)}{\sqrt{Var(U)\cdot Var(V)}} \\ & = ...
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1answer
58 views

Wedge Product Formula For Sine. Analogous Formula Generalizing Cosine to Higher Dimensions?

So I was day dreaming about linear algebra today (in a class which had nothing to do with linear algebra), when I stumbled across an interesting relationship. I was thinking about how determinants are ...
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1answer
27 views

Independent variable vs. Uncorrelated variable confusion. How do I interpret this?

I'm reading Time Series Analysis and Forecasting by Example by Søren Bisgaard and Murat Kulahci and I'm having trouble conceptualizing a particular passage and it's bugging me enough that I can't move ...
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0answers
17 views

FFT of k*k matrix from FFT of a j*j matrix

FFT of matrix a j by j matrix, A $\begin{bmatrix}1 & 2\\3 & 4\end{bmatrix}$ = $\begin{bmatrix}10 & -2\\-4 & ...
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2answers
44 views

What is the rigorous justification for using inner products as a function of similarity between two vectors?

In machine learning, it is a common thing to define similarity measures, specially using the so call Kernel function. Kernel functions are defined though through inner products of feature vectors: ...
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0answers
12 views

independence in rank vs independence in correlation

while watching a coursera lecture on lecture on correlation , at around 5:00 , the instructor says that if two random variables X, and Y are independent then there correlation will be zero, but the ...
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2answers
127 views

Correlation of Proportions

To introduce my question, here is a small simplification for consideration: Let $X,Y$ be independent random variates, each with finite mean and variance. Interestingly, ...
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0answers
28 views

Increase the probability of correct prediction using multiple regression

First off let me begin by saying that I'm brand new to statistics and I would appreciate it if you could dumb down any answers for my problem. I am trying to create a general prediction of how much a ...
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1answer
217 views

Uncorrelated but not independent random variables

Is it possible to construct two random variables $X, Y$ both of them assuming exactly two non-zero values which are uncorrelated, i. e. $\mathbf{E}[X \, Y] = \mathbf{E}[X]\,\mathbf{E}[Y]$, but not ...
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1answer
39 views

Conditional Probability Distribution for two Discrete Uniform Random Variables with given Correlation Coefficient

I consider a problem with two random variables $X, Y \sim Unif\{a,b\}$, for which I want to set a correlation coefficient $Corr(X,Y)=\rho$. Now, I am interested in the conditional probability mass ...
2
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1answer
79 views

Cross Power Spectral Density from Individual Power Spectral Densities

Let $X$ and $Y$ be two zero-mean, wide-sense stationary random processes. The power spectral density of a process is the Fourier transform of the process's auto-correlation function. The cross power ...
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0answers
26 views

Probability of three events occurring given correlation?

I am facing a problem that I cannot find the answer to. I have three variables, A, B and C. There are only two possibilities for each of these, A either happens or it does not, B happens or it does ...
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0answers
35 views

Correlation Matrix using Matrix Algebra, not the Same as Result from Excel

I am attempting to verify a calculation found at another question on this site. The formula is said to provide a correlation matrix using q = D-1ED-1 where q is the correlation matrix; E is the ...
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2answers
33 views

correlation between $\sum_{i=1}^{98}X_i$ and $\sum_{i=3}^{100}X_i$

Let $X_1,...,X_{100}$ be iid $N(0,1)$ random variables. The correlation between $\sum\limits_{i=1}^{98}X_i$ and $\sum\limits_{i=3}^{100}X_i$ is equal to (A) $0$ (B) $\dfrac{96}{98}$ (C) ...
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0answers
20 views

How to find covariance of sample mean and sample standard deviation

I have a question to find the covariance of sample mean and sample standard deviation based on the following: I have tried something on my scratch paper, but for some reason, I cannot upload on ...
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0answers
40 views

Covariance and correlation of summations of independent random variables

This is the problem: There are 2n − 1 independent random variables X1, 𝑋2, ... , 𝑋2𝑛−1. The expectation E(Xi) is μ for all i = 1,...,2n−1. The variance Var(Xi) is σ2 for all i = 1,...,2n−1. Let ...
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1answer
41 views

Linear Regression and finding Correlation Coefficient

In a Simple Linear Regression $y= \alpha + \beta x + \epsilon $, we gather this information: $S_y=20, S_x=5, \widehat{\beta} = 0.2 $ how I could find Instance Correlation Coefficient between x and ...
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0answers
45 views

Covariance matrix using squared exponential function

I'm writing down the covariance matrix $K$ of a vector X using squared exponential covariance function, and then evaluating the determinant of the matrix $K$. Let's say i add a new point to $X$ , and ...
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0answers
7 views

given means and deviation find the correlation

I have some problems in effect size calculation for meta analysis. I want to use the difference between mean gain scores and standard deviation of gain score as the effect size. I need to calculate ...
0
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0answers
11 views

Find normal random variables from independent standard normal variables with correlation matrix

I'm trying to find three independent standard normal variables from three normal random variables using a correlation matrix. So far, I have decomposed the problem using the matrix's cholesky ...
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0answers
10 views

(bounds on) mean of correlation matrix

Let $C\in\mathbb{R}^{p\times p}$ be a correlation matrix, that is a positive (and thus symmetric) definite matrix with main diagonal elements equal to $1$ and off-diagonal entries in the interval ...
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0answers
13 views

Augmenting a matrix with a highly-incorrelated column

Consider a binary matrix: $$\begin{pmatrix} 1 & -1 & 1 \\ -1 & 1 &1 \\ \vdots & \vdots &\vdots \\ 1 & 1 & -1\end{pmatrix}$$ with a random distribution of 1 and -1 ...
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1answer
21 views

Given f(x) and two correlated random variables x & y, how do I estimate the correlation of f(x) & f(y)

I have a smooth continuous well-behaved function f(x), where f(x) is positive and mononically increasing with x, and x is positive real continuous variable. Given the mean, variance, and correlation ...
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0answers
63 views

Estimating Percentile Ranks - Correlation

I'm going to type out the question, run the answers I've gotten so far by you, and then ask about what I'm having issues with. Question: In a large statistics class the correlation between midterm ...
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0answers
8 views

Convergence under rank correlation

I have a following setup: Let $c\in{\Bbb R}$, $R^2\in [0,1]$ and $\Psi,\varepsilon_1,\varepsilon_2,\ldots$ independent random variables on a probability space $(\Omega,{\cal A},{\Bbb P})$. Define the ...
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0answers
23 views

Error of 2 correlated variables, proxied as random variables

Disclaimer: my 1st question in math.stackexchange (usually in stackoverflow !), and non-English speaker. I'm trying to solve this problem for an arbitrary no. of variables, with multiple categories ...