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Math Help - Covariance matrix

  1. #1
    Junior Member
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    Angry Covariance matrix

    Ok so i have X and Y that are independent standard random variables, each with mean = 0 and variance = 1
    i.e X = AY
    i need to get the covariance matrix of X.

    i Know the format of the covariance matrixie
    a11 = (sigma1)^2 a21= correlation co-efficient*sigma1*sigma2
    a12= correlation co-efficient*sigma1*sigma2 a22= (sigma2)^2

    Ok so if we are only looking for the covariance matrix of X? Does that mean we have a 2*1 matrix with 1 being in the location a11, and zero being in a21?? Or is it simply the identity matrix??
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  2. #2
    Moo
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    Hello,

    I don't quite understand, why do you say "i.e X=AY" ? "i.e" stands for an implication and I don't see how this is implied from what's written before...

    Also, when you have a one-dimensional random variable, the covariance matrix is just the variance.
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