# Tagged Questions

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

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### 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. ...
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### 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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### 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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### 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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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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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### How can I get a Covariance Matrix from Mean and Variance?

this may be a very basic question. I have the mean and variance for 12 lognormal distributions: ...
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### How to calculate correlation between discrete data points?

I understand there are numerous correlation algorithms, but I wanted some more suggestions on what to use. Here is my situation: I have one list of discrete data points, that I'll call "ideal" case ...
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### Relation between Regularization and correlation

I was going through Chapter 3 (page 63 bottom) of Elements of Statistical Learning. While explaining regularization in ridge regression authors make the following statements. "When there are many ...
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### Coefficient of variation vs Pearson's rho

If you get the same outcome in case of Pearson's rho when comparing interval/ratio statistics, but the intervals/ratios are different, is it possible to use the coëfficiënt of variation to say more ...
I've read that centering two normal (or symmetrical) variables $X$ and $Z$ affects correlation of centered $X$ with interaction term $X\cdot Z$ in such way, that this correlation $cor(X-EX, X\cdot Z)$ ...