Sample covariance matrix in R
perhaps ...
library("fortunes")
fortune("surgery")
Cheers,
Bert
On Thu, Nov 18, 2010 at 1:57 PM, Ben Bolker <bbolker at gmail.com> wrote:
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
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Bert Gunter Genentech Nonclinical Biostatistics