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Sample covariance matrix in R

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Sample covariance matrix in R

alaios
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.
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?

Best Regards
Alex




     
        [[alternative HTML version deleted]]

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Re: Sample covariance matrix in R

Doran, Harold
Alex:

?cov

> -----Original Message-----
> From: [hidden email] [mailto:[hidden email]] On
> Behalf Of Alaios
> Sent: Thursday, November 18, 2010 12:54 PM
> To: Rhelp
> Subject: [R] Sample covariance matrix in R
>
> 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.
> 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?
>
> Best Regards
> Alex
>
>
>
>
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

______________________________________________
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Re: Sample covariance matrix in R

Doran, Harold
The help and its examples are very comprehensive here. The usage you cite shows exactly what you need to do

From: Alaios [mailto:[hidden email]]
Sent: Thursday, November 18, 2010 1:30 PM
To: Doran, Harold
Subject: RE: [R] Sample covariance matrix in R


Checked that
Usage
covr(x, y = NULL, na.rm = FALSE, use)

as you can see expectes two inputs ,,, or one with two columns..

I also found intresting this
The denominator n - 1 is used which gives an unbiased estimator of the (co)variance for i.i.d. observations\

but I do not know how to use this inside the cov to get wjhat I am lloking for.

Regards
Alex



--- On Thu, 11/18/10, Doran, Harold <[hidden email]> wrote:

From: Doran, Harold <[hidden email]>
Subject: RE: [R] Sample covariance matrix in R
To: "Alaios" <[hidden email]>, "Rhelp" <[hidden email]>
Date: Thursday, November 18, 2010, 6:26 PM
Alex:

?cov

> -----Original Message-----
> From: [hidden email]</mc/compose?to=[hidden email]> [mailto:[hidden email]</mc/compose?to=[hidden email]>] On
> Behalf Of Alaios
> Sent: Thursday, November 18, 2010 12:54 PM
> To: Rhelp
> Subject: [R] Sample covariance matrix in R
>
> 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.
> 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?
>
> Best Regards
> Alex
>
>
>
>
>
>     [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email]</mc/compose?to=[hidden email]> mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.



        [[alternative HTML version deleted]]

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Re: Sample covariance matrix in R

bbolker
In reply to this post by alaios
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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Re: Sample covariance matrix in R

Bert Gunter
perhaps ...

library("fortunes")
fortune("surgery")


Cheers,
Bert

On Thu, Nov 18, 2010 at 1:57 PM, Ben Bolker <[hidden email]> 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
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>



--
Bert Gunter
Genentech Nonclinical Biostatistics

______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
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