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| = Covariance Matrices = | = Covariance = |
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| '''Covariance matrices''' are specially constricted matrices that are useful for various procedures. | '''Covariance''' is a measure of how much something varies with another. It is a generalization of [[Statistics/Variance|variance]]: ''Var(X) = Cov(X,X)''. |
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| The matrix is usually notated as '''''Σ'''''. | Covariance is calculated as: |
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| Each cell identified by ''(i,j)'' carries a value of the covariance between term ''i'' and term ''j''. The diagonal is therefore each term's variance. If the terms are independently distributed, their covariances are 0, and the matrix is fully specified as the [[LinearAlgebra/Diagonalization|diagonal matrix]] of variances. | ''Cov(X,Y) = E[(X - E[X])(Y - E[y])]'' Covariance is related to '''correlation''' as: ''Corr(X,Y) = Cov(X,Y)/σ,,X,,σ,,Y,,'' Letting ''X̅'' be the mean of ''X'', and letting ''Y̅'' be the mean of ''Y'', the calculation becomes: ''Cov(X,Y) = E[(X - X̅)(Y - Y̅)]'' ''E[XY - X̅Y - XY̅ + X̅Y̅]'' ''E[XY] - X̅E[Y] - E[X]Y̅ + X̅Y̅'' ''E[XY] - X̅Y̅ - X̅Y̅ + X̅Y̅'' ''E[XY] - X̅Y̅'' This gives a trivial proof that [[Statistics/JointProbability#Independence|independent]] variables have zero correlation and zero covariance. Necessarily ''E[XY] = E[X]E[Y]'', so ''E[XY] - X̅Y̅ = 0'' |
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| === Precision Matrices === | === Properties === |
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| The inverse of a covariance matrix, notated as '''''Σ'''^-1^'', is called a '''precision matrix'''. | Covariance is symmetric: ''Cov(X,Y) = Cov(Y,X)'' ---- == Transformations == Covariance linearly transforms with scalars. ''Cov(aX,Y) = E[aXY] - E[aX]E[Y]'' ''a E[XY] - a E[X]E[Y]'' ''a (E[XY] - E[X]E[Y])'' ''a Cov(X,Y)'' Covariance is linear with inputs. ''Cov(X+Y,Z) = E[(X+Y)Z] - E[X+Y]E[Z]'' ''E[XZ+YZ] - E[X+Y]E[Z]'' ''(E[XZ] + E[YZ]) - (E[X] + E[Y]) E[Z]'' ''(E[XZ] + E[YZ]) - (E[X]E[Z] + E[Y]E[Z])'' ''(E[XZ] - E[X]E[Z] + E[YZ] - E[Y]E[Z]'' ''Cov(X,Z) + Cov(Y,Z)'' This gives a trivial proof that constant additions cancel out. ''Cov(a+X,Y) = Cov(X,Y) + Cov(a,Y) = Cov(X,Y) + 0'' '''Altogether''': ''Cov(a+bX,c+dY) = b d Cov(X,Y)'' ---- == Matrix == A '''covariance matrix''' describes multivariate covariances. Consider a column ''x'': the covariance matrix reflects ''Cov(x,x)''. Cell ''(i,j)'' is the covariance of the ''i''th termwith the ''j''th term. On the diagonal are [[Statistics/Variance|variances]] (i.e., covariance of a term with itself). The matrix is usually notated as '''''Σ'''''. The inverse covariance matrix, '''''Σ'''^-1^'', is also called the '''precision matrix'''. The covariance matrix is calculated as: '''''Σ''' = E[(x - E[x])(x - E[x])^T^]'' Letting ''x̅'' be the mean vector of ''x'', the calculation becomes: '''''Σ''' = E[(X - x̅)(X - x̅)^T^]'' Alternatively: {{attachment:summation.svg}} === Properties === A covariance matrix is necessarily square, [[LinearAlgebra/SpecialMatrices#Symmetric_Matrices|symmetric]], and [[LinearAlgebra/PositiveDefiniteness|positive semi-definite]]. * '''''Σ''' = '''Σ'''^T^'' * the [[LinearAlgebra/Determinant|determinant]] is bound by ''|'''Σ'''| >= 0'' * '''''Σ'''^0.5^'' can always be evaluated === Linear Algebra === The covariance matrix linearly transforms with the inputs. ''Cov('''A'''x,'''A'''x) = E[('''A'''X - '''A'''x̅)('''A'''X - '''A'''x̅)^T^]'' ''E['''A'''(X - x̅)(X - x̅)^T^'''A'''^T^]'' '''''A'''E[(X - x̅)(X - x̅)^T^]'''A'''^T^'' '''''AΣA'''^T^'' Trivially, if the transformation is a scalar like ''a'''I''''': ''a'''IΣ'''a'''I'''^T^'' ''a'''Σ'''a'' ''a^2^'''Σ''''' |
Covariance
Covariance is a measure of how much something varies with another. It is a generalization of variance: Var(X) = Cov(X,X).
Description
Covariance is calculated as:
Cov(X,Y) = E[(X - E[X])(Y - E[y])]
Covariance is related to correlation as:
Corr(X,Y) = Cov(X,Y)/σXσY
Letting X̅ be the mean of X, and letting Y̅ be the mean of Y, the calculation becomes:
Cov(X,Y) = E[(X - X̅)(Y - Y̅)]
E[XY - X̅Y - XY̅ + X̅Y̅]
E[XY] - X̅E[Y] - E[X]Y̅ + X̅Y̅
E[XY] - X̅Y̅ - X̅Y̅ + X̅Y̅
E[XY] - X̅Y̅
This gives a trivial proof that independent variables have zero correlation and zero covariance. Necessarily E[XY] = E[X]E[Y], so E[XY] - X̅Y̅ = 0
Properties
Covariance is symmetric: Cov(X,Y) = Cov(Y,X)
Transformations
Covariance linearly transforms with scalars.
Cov(aX,Y) = E[aXY] - E[aX]E[Y]
a E[XY] - a E[X]E[Y]
a (E[XY] - E[X]E[Y])
a Cov(X,Y)
Covariance is linear with inputs.
Cov(X+Y,Z) = E[(X+Y)Z] - E[X+Y]E[Z]
E[XZ+YZ] - E[X+Y]E[Z]
(E[XZ] + E[YZ]) - (E[X] + E[Y]) E[Z]
(E[XZ] + E[YZ]) - (E[X]E[Z] + E[Y]E[Z])
(E[XZ] - E[X]E[Z] + E[YZ] - E[Y]E[Z]
Cov(X,Z) + Cov(Y,Z)
This gives a trivial proof that constant additions cancel out.
Cov(a+X,Y) = Cov(X,Y) + Cov(a,Y) = Cov(X,Y) + 0
Altogether: Cov(a+bX,c+dY) = b d Cov(X,Y)
Matrix
A covariance matrix describes multivariate covariances. Consider a column x: the covariance matrix reflects Cov(x,x). Cell (i,j) is the covariance of the ith termwith the jth term. On the diagonal are variances (i.e., covariance of a term with itself). The matrix is usually notated as Σ.
The inverse covariance matrix, Σ-1, is also called the precision matrix.
The covariance matrix is calculated as:
Σ = E[(x - E[x])(x - E[x])T]
Letting x̅ be the mean vector of x, the calculation becomes:
Σ = E[(X - x̅)(X - x̅)T]
Alternatively:
Properties
A covariance matrix is necessarily square, symmetric, and positive semi-definite.
Σ = ΣT
the determinant is bound by |Σ| >= 0
Σ0.5 can always be evaluated
Linear Algebra
The covariance matrix linearly transforms with the inputs.
Cov(Ax,Ax) = E[(AX - Ax̅)(AX - Ax̅)T]
E[A(X - x̅)(X - x̅)TAT]
AE[(X - x̅)(X - x̅)T]AT
AΣAT
Trivially, if the transformation is a scalar like aI:
aIΣaIT
aΣa
a2Σ