# Tagged Questions

16 views

### Checking hand manipulations of matrices

Beginning with a 4*3 matrix: 5 4 -1 2 3 -3 3 4 -4 1 3 -2 I have to perform four manipulations on it, which I did by hand. I wanted to ask if my thinking and/or ...
14 views

### Exponentially weighted rank ordered correlation matrix

Is there any well-known method to apply exponential weighting (similar to EWMA) to rank ordered correlation matrices such as Kendall tau or Spearman?
11 views

### similarities between two binary matrices

I want to measure the similarities between two matrices A and B. Both A and B contains the feature vectors of sounds and are in binary format. i want to see what is the similarities between these two ...
25 views

### Correlating random numbers seems to skew the data

I am trying to generate a series of correlated random numbers that represent currency exchange rates for a Monte-Carlo simulation. I am attempting to do this via a Cholesky decomposition of the ...
25 views

### Condition number of covariance matrix

I am interested in generating a covariance matrix of dimension say 100. I managed to get a correlation matrix with finite condition number. To construct a covariance matrix I need to have standard ...
8 views

### How to order a set of attributes such that their correlation matrix concentrates high correlation terms around the diagonal?

Suppose there are n attributes that are being tested for correlation with one another. We need to find the order in which these attributes must be placed along the rows as well as columns such that ...
120 views

### How to construct a covariance matrix from a 2x2 data set

so if given a covariance matrix I can find the eigenvalues and move forward from there... but I seem to have trouble with the step before if I am given a data set and am told to create the covariance ...
48 views

### Redundancies in covariance matrix

We know that covariance matrix is symmetrical. I have a vague intuition that there may be some other redundancies beyond that. For example, if A is correlated to B and B is correlated to C then A and ...
790 views

### Determinant of a N symmetric square matrix with diagonal 1

What is the determinant of a symmetric $n \times n$ matrix with all diagonals be 1 and all others are $\rho$ (yes correlation matrix)? Anyone can tell me a method to work it out elegantly? Thanks!
526 views

### Calculate a whitening matrix without using inverses?

Consider a random column vector $\mathbf{x}$, of dimension $m$. That is, it is a random vector, composed of $m$ random variables. The PDF of the random vector $\mathbf{x}$ is thus the joint-PDF of its ...
415 views

### Necessary and sufficient conditions for a matrix to be a valid correlation matrix.

It's not too hard to see that any correlation matrix must have certain properties, such as all entries in the range -1 to 1, symmetric, positive semi-definite (excluding pathological cases like ...
104 views

### Find 3 normal variables which are linear combinations based on 3 ind std normal variable given a correlation matrix

I am given $3$ normal random variables $X_1$,$X_2$,$X_3$ which are linear combinations of $Z_1$,$Z_2$,$Z_3$. $Z_1$,$Z_2$,$Z_3$ are mutually independent standard normal variables. I am given a ...
252 views

### Calculate Upper Lower bound in $4\times 4$ correlation matrix

Let $X_i$, $i = 1,2,3 4$, be random variables on the same probability space such that \begin{align*} \mathrm{corr}(X_1,X_3) &= 0.3;\\ \mathrm{corr}(X_2,X_3) &= 0.1;\\ ...
1k views

### Generalized variance

Generalized variance is the determinant of correlation matrix. Does increasing the off-diagonal entries (correlation coefficients) decreases the determinant? Is a proof available? All elements are ...
811 views

### Bounds on off-diagonal entries of a correlation matrix

Assume that all the entries of an $n \times n$ correlation matrix which are not on the main diagonal are equal to $q$. Find upper and lower bounds on the possible values of $q$. I know that the ...