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Math Help - multivariate statistics ; compute variance

  1. #1
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    multivariate statistics ; compute variance

    hi guys,

    for X1 = [1,2,4,1]
    and X2 = [5,1,2,4]


    how do you find the sample means and covariance matrix for the two variables without knowing their distributions ?
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  2. #2
    MHF Contributor matheagle's Avatar
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    Quote Originally Posted by masterinex View Post
    hi guys,

    for X1 = [1,2,4,1]
    and X2 = [5,1,2,4]


    how do you find the sample means and covariance matrix for the two variables without knowing their distributions ?
    The sample mean is just the average of the 4 values.
    I guess you want a 2 by 2 sample variance matrix.
    Put the sample variances in the diagonal positions and the sample covariance in the off diagonal spot.
    NOW do we use n or n-1 in this case?
    Not sure if you want the MLEs (n) or the unbiased estimators (n-1).
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