Matrices | Covariance and correlation

Cross-covariance matrix

In probability theory and statistics, a cross-covariance matrix is a matrix whose element in the i, j position is the covariance between the i-th element of a random vector and j-th element of another random vector. A random vector is a random variable with multiple dimensions. Each element of the vector is a scalar random variable. Each element has either a finite number of observed empirical values or a finite or infinite number of potential values. The potential values are specified by a theoretical joint probability distribution. Intuitively, the cross-covariance matrix generalizes the notion of covariance to multiple dimensions. The cross-covariance matrix of two random vectors and is typically denoted by or . (Wikipedia).

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 (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 (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

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 (11 of 17) Covariance Matrix with 3 Data Sets (Part 2)

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 3 data sets. Part 2 Next video in this series can be seen at: https://youtu.be/O5v8ID5Cz_8

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 (5 of 17) What is the Covariance Matrix?

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 covariance matrix is an nxn matrix (where n=number of data sets) such that the diagonal elements represents the va

From playlist COVARIANCE AND VARIANCE

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 (10 of 17) Covariance Matrix with 3 Data Sets (Part 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 3 data sets. Part 1 Next video in this series can be seen at: https://youtu.be/W3Dt-pG2DKQ

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

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

Overview Surveys - Nikhil Padmanabhan

Nikhil Padmanabhan - September 24, 2015 The interpretation of low-redshift galaxy surveys is more complicated than the interpretation of CMB temperature anisotropies. First, the matter distribution evolves nonlinearly at low redshift, limiting the use of perturbative methods. Secondly, we

From playlist Unbiased Cosmology from Biased Tracers

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

Special Topics - The Kalman Filter (29 of 55) 3. Predicted Process Covariance - Tracking Airplane

Visit http://ilectureonline.com for more math and science lectures! In this video I will calculate the predicted process covariance matrix of the Kalman Filter of tracking an airplane. Next video in this series can be seen at: https://youtu.be/8eqopG4q9Ew

From playlist SPECIAL TOPICS 1 - THE KALMAN FILTER

Video thumbnail

LSS Hands-on (Lecture 3) by Shadab Alam

Program Cosmology - The Next Decade ORGANIZERS : Rishi Khatri, Subha Majumdar and Aseem Paranjape DATE : 03 January 2019 to 25 January 2019 VENUE : Ramanujan Lecture Hall, ICTS Bangalore The great observational progress in cosmology has revealed some very intriguing puzzles, the most i

From playlist Cosmology - The Next Decade

Video thumbnail

Yanrong Yang - Can we trust PCA on non-stationary data?

Dr Yanrong Yang (ANU) presents “Can we trust PCA on non-stationary data?”, 13 August 2020. This seminar was organised by the Australian National University.

From playlist Statistics Across Campuses

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

Ex 2: Properties of Cross Products - Cross Product of a Sum and Difference

This video explains how to find the cross product of a sum and difference of two vectors. Site: http://mathispower4u.com

From playlist Vectors in Space (3D)

Related pages

Variance | Random variable | Expected value | Probability theory | Conjugate transpose | Joint probability distribution | Statistics | Matrix (mathematics) | Random element | Scalar (mathematics) | Covariance