Search
Code Directory
 ASP
 ASP.NET
 C/C++
 CFML
 CGI/PERL
 Delphi
 Development
 Flash
 HTML
 Java
 JavaScript
 Pascal
 PHP
 Python
 SQL
 Tools
 Visual Basic & VB.NET
 XML
New Code
Vue Injector 3.3
Spectrum Analyzer pro Live 2019
Devart Excel Add-in for HubSpot 2.1
RentALLScript - Airbnb clone 2.2
SuiteCRM Theme Customization 7.11.6
iScripts NetMenus 3.1
iScripts EasyIndex 2.2
iScripts EasySnaps 2.0
Australia MyPost shipping For Magento 2 1.0.0
Australia Post eParcel For Magento 1.1.1
Source Control for SQL Server 2.0
Answers phpSoftPro 3.12
Exlcart 2.0
School College ERP 1.3.2
White-label Grocery Delivery App Solution 2.0
Top Code
IcrediBB Bulletin Board System 1.0
Vue Injector 3.3
GnuWin64 64
iScripts EasySnaps 1
iScripts EasyIndex 1
iScripts NetMenus 2.0
CardCheck COM DLL for Credit Card Processing 1.1
Azizi search engine script PHP 4.1.10
OpenGl 3D Effect 1.1
Linklok URL
Password Generator Software 2.3
Put your app in the System Tray 1.1
Faculty Evaluation System 1.1
School College ERP 1.3.2
Spectrum Analyzer pro Live 2019
Top Rated
Answers phpSoftPro 3.12
phpEnter 5.1.
Quick Maps For Dynamics CRM 3.1
Single Leg MLM 1.2.1
Azizi search engine script PHP 4.1.10
Paste phpSoftPro 1.4.1
Extreme Injector 3.7
Deals and Discounts Website Script 1.0.2
Solid File System OS edition 5.1
Classified Ad Lister 1.0
Aglowsoft SQL Query Tools 8.2
Invoice Manager by PHPJabbers 3.0
ICPennyBid Penny Auction Script 4.0
PHP Review Script 1.0
ATN Resume Finder 2.0
Covariance matrix 1.0
File ID: 80928






Covariance matrix 1.0
Download Covariance matrix 1.0Report Error Link
License: Shareware
File Size: 10.0 KB
Downloads: 66
Submit Rating:
Covariance matrix 1.0 Description
Description: Return covariance matrix for given data matrix X (row = object, column = feature)
% @author: Kardi Teknomo
% http://people.revoledu.com/kardi/index.html
See the usage for Mahalanobis distance computation in http://people.revoledu.com/kardi/tutorial/...isDistance.html

License: Shareware

Related: teknomo, kardi, Usage, mahalanobis, computation, Distance, Author, feature, Matrix, covariance

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 10.0 KB

Downloads: 66



More Similar Code

Revised public version of covariance matrix tools. (see attached Contents file).



This programs uses a for loops only to calculate the state space parameters and then finds the covariance matrix bu using a for loops then check for the stability of this system by cheking the diagonal of the K matrix by <<1>> if itis...



This function computes Spherical Error Probable radius from inputs consisting of the square roots of the eigenvalues of a covariance matrix (equivalently, from sigma-x, sigma-y, and sigma-z, of a trivariate normal distribution in a coordinate...



Using the Cholesky decomposition, it generates n iterations of multivariate Gaussian random variables for a given mean vector (mu) and variance-covariance matrix (sigma).

mvgrnd(mu,sigma,n)



R = RCR(S) computes the semi-edge-length of the mean-centered hypercube with 95% probability given S, which is either a covariance matrix or a vector of standard deviations from a multivariate normal distribution. If S is a real, nonnegative...



Computes the variance of a linear sum of variables. Requires a vector of weights (for the linear sum), and a covariance matrix of the variables.



I faced a stupid problem of getting all possible orders of variables for Cholesky decomposition of a covariance matrix. Web search offered advertisements of 60-line codes as a solution, so I decided to crack it myself. Enjoy.



Calculates the RiskMetrics "Technical Document" (1996) exponentially weighted covariance matrix (p.179), correlation and volatilities.
Input:
data - needs to be in format T x k with T = # observations, k = # assets
lambda...



It will compute the Kalman gain and the stationary covariance matrix using a Kalman filter with a linear forward looking model.



1. Detailed Tutorial on Kalman Filtering Techniques in Matlab

2.Computes the Kalman gain and the stationary covariance matrix using the Kalman filter of a linear forward looking model.

User Review for Covariance matrix
- required fields
     

Please enter text on the image