Sample covariance matrix in R
Alaios <alaios <at> yahoo.com> writes:
Hello everyone. I would like to find the sample covariance matrix using R. So far I read on the wikipedia what a sample_covariance is http://en.wikipedia.org/wiki/Sample_covariance according to wikipedia one vector is enough to calculate the sample covariance matrix.
I'm sorry, where does it say that?? The expression given
for the sample covariance is
q_{ij}=\frac{1}{N-1}\sum_{k=1}^{N}
\left( x_{ik}-\bar{x}_i \right) \left( x_{jk}-\bar{x}_j \right) .
if N=1 this whole thing will go up in smoke: the denominator and
numerator will both be zero.
In R I tried cov(myvector) and I get the reply that I need to pass either two argument or one matrix with x,y values . How can I find the sample covariance matrix?
You need more than one sample (!); even trying to do it with two samples would give you a mathematically well-defined but statistically awful estimate. I strongly suggest that you consult a statistics book or a local expert ... good luck