Time domain analysis | Signal processing | Covariance and correlation

Cross-covariance

In probability and statistics, given two stochastic processes and , the cross-covariance is a function that gives the covariance of one process with the other at pairs of time points. With the usual notation for the expectation operator, if the processes have the mean functions and , then the cross-covariance is given by Cross-covariance is related to the more commonly used cross-correlation of the processes in question. In the case of two random vectors and , the cross-covariance would be a matrix (often denoted ) with entries Thus the term cross-covariance is used in order to distinguish this concept from the covariance of a random vector , which is understood to be the matrix of covariances between the scalar components of itself. In signal processing, the cross-covariance is often called cross-correlation and is a measure of similarity of two signals, commonly used to find features in an unknown signal by comparing it to a known one. It is a function of the relative time between the signals, is sometimes called the sliding dot product, and has applications in pattern recognition and cryptanalysis. (Wikipedia).

Video thumbnail

Covariance (1 of 17) What is Covariance? in Relation to Variance and Correlation

Visit http://ilectureonline.com for more math and science lectures! To donate:a http://www.ilectureonline.com/donate https://www.patreon.com/user?u=3236071 We will learn the difference between the variance and the covariance. A variance (s^2) is a measure of how spread out the numbers of

From playlist COVARIANCE AND VARIANCE

Video thumbnail

Covariance Definition and Example

What is covariance? How do I find it? Step by step example of a solved covariance problem for a sample, along with an explanation of what the results mean and how it compares to correlation. 00:00 Overview 03:01 Positive, Negative, Zero Correlation 03:19 Covariance for a Sample Example

From playlist Correlation

Video thumbnail

Covariance (6 of 17) Example of the Covariance Matrix - EX 1

Visit http://ilectureonline.com for more math and science lectures! To donate:a http://www.ilectureonline.com/donate https://www.patreon.com/user?u=3236071 We will find the covariance matrix of 2 data sets. Example 1 Next video in this series can be seen at: https://youtu.be/9DscP6F5CGs

From playlist COVARIANCE AND VARIANCE

Video thumbnail

Covariance - Explained

This educational video delves into how you quantify a linear statistical relationship between two variables using covariance! #statistics #probability #SoME2 This video gives a visual and intuitive introduction to the covariance, one of the ways we measure a linear statistical relation

From playlist Summer of Math Exposition 2 videos

Video thumbnail

Estimation of Coherence and Cross Spectra

http://AllSignalProcessing.com for more great signal-processing content: ad-free videos, concept/screenshot files, quizzes, MATLAB and data files. Averaging approaches for estimating coherence and cross spectra, analogous to Welch's averaged periodogram estimator of the power spectrum.

From playlist Estimation and Detection Theory

Video thumbnail

How to find Correlation in Excel 2013

Visit us at http://www.statisticshowto.com for more FREE statistics and Excel videos.

From playlist Excel for Statistics

Video thumbnail

Covariance (8 of 17) What is the Correlation Coefficient?

Visit http://ilectureonline.com for more math and science lectures! To donate:a http://www.ilectureonline.com/donate https://www.patreon.com/user?u=3236071 We will learn what is and how to find the correlation coefficient of 2 data sets and see how it corresponds to the graph of the data

From playlist COVARIANCE AND VARIANCE

Video thumbnail

Covariance (12 of 17) Covariance Matrix wth 3 Data Sets and Correlation Coefficients

Visit http://ilectureonline.com for more math and science lectures! To donate:a http://www.ilectureonline.com/donate https://www.patreon.com/user?u=3236071 We will find the correlation coefficients of the 3 data sets form the previous 2 videos. Next video in this series can be seen at:

From playlist COVARIANCE AND VARIANCE

Video thumbnail

Covariance (14 of 17) Covariance Matrix "Normalized" - Correlation Coefficient

Visit http://ilectureonline.com for more math and science lectures! To donate:a http://www.ilectureonline.com/donate https://www.patreon.com/user?u=3236071 We will find the “normalized” matrix (or the correlation coefficients) from the covariance matrix from the previous video using 3 sa

From playlist COVARIANCE AND VARIANCE

Video thumbnail

Neuroscience source separation 3a: Multivariate cross-frequency coupling

This is part three of a three-part lecture series I taught in a masters-level neuroscience course in fall of 2020 at the Donders Institute (the Netherlands). The lectures were all online in order to minimize the spread of the coronavirus. That's good for you, because now you can watch the

From playlist Neuroscience source separation (3-part lecture series)

Video thumbnail

Covariance: population vs. sample, and relationship to correlation (FRM T2-8)

[Here is my xls http://trtl.bz/2B9nqdO] Covariance is a measure of linear co-movement between variables. Independence implies zero covariance, but the converse is not necessarily true (because variables can be dependent in a non-linear way). Discuss this video in our FRM forum! https://trt

From playlist Quantitative Analysis (FRM Topic 2)

Video thumbnail

16 Data Analytics: Cosimulation

Lecture on cosimulation for spatial modeling with more than one variance at a time.

From playlist Data Analytics and Geostatistics

Video thumbnail

XCiT: Cross-Covariance Image Transformers (Facebook AI Machine Learning Research Paper Explained)

#xcit #transformer #attentionmechanism After dominating Natural Language Processing, Transformers have taken over Computer Vision recently with the advent of Vision Transformers. However, the attention mechanism's quadratic complexity in the number of tokens means that Transformers do not

From playlist Papers Explained

Video thumbnail

Ensemble (Transform) Kalman Filter - Amit Apte

PROGRAM: Data Assimilation Research Program Venue: Centre for Applicable Mathematics-TIFR and Indian Institute of Science Dates: 04 - 23 July, 2011 DESCRIPTION: Data assimilation (DA) is a powerful and versatile method for combining observational data of a system with its dynamical mod

From playlist Data Assimilation Research Program

Video thumbnail

Geostatistics session 6 multi-variate

Introduction to co-kriging and co-simulation

From playlist Geostatistics GS240

Video thumbnail

Level 1 Chartered Financial Analyst (CFA ®): Correlation, covariance and probability topics

Session 2, Reading 9 (Part 2): This video reviews portfolio variance and covariance, where covariance is the expected cross-product. We look at correlation, which is given by the covariance divided by the product of standard deviations, and therefore standardizes the covariance into a unit

From playlist Level 1 Chartered Financial Analyst (CFA ®) Volume 1

Video thumbnail

Victor Panaretos: The extrapolation of correlation

CONFERENCE Recording during the thematic meeting : "Adaptive and High-Dimensional Spatio-Temporal Methods for Forecasting " the September 29, 2022 at the Centre International de Rencontres Mathématiques (Marseille, France) Filmmaker: Guillaume Hennenfent Find this video and other talks

From playlist Analysis and its Applications

Video thumbnail

Interpreting Intensity Mapping Data - Switzer - Workshop 2 - CEB T3 2018

Eric Switzer (NASA GSFC) / 25.10.2018 Interpreting Intensity Mapping Data ---------------------------------- Vous pouvez nous rejoindre sur les réseaux sociaux pour suivre nos actualités. Facebook : https://www.facebook.com/InstitutHenriPoincare/ Twitter : https://twitter.com/InHenriPo

From playlist 2018 - T3 - Analytics, Inference, and Computation in Cosmology

Video thumbnail

FRM: Correlation & Covariance

Covariance is a measure of relationship (or co-movement) between two variables. Correlation is just the translation of covariance into a UNITLESS measure that we can understand (-1.0 to 1.0). For more financial risk videos, visit our website! http://www.bionicturtle.com

From playlist Statistics: Introduction

Video thumbnail

Neuroscience source separation 3b: Multivariate cross-frequency coupling in MATLAB

This is part three of a three-part lecture series I taught in a masters-level neuroscience course in fall of 2020 at the Donders Institute (the Netherlands). The lectures were all online in order to minimize the spread of the coronavirus. That's good for you, because now you can watch the

From playlist Neuroscience source separation (3-part lecture series)

Related pages

Signal processing | Mean | Statistics | Stochastic process | Continuous function | Probability | Dot product | Time | Covariance matrix | Operator (mathematics) | Autocorrelation | Cryptanalysis | Similarity measure | Autocovariance | Convolution | Complex conjugate | Expected value | Sampling (statistics) | Correlation | Cross-correlation | Covariance