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
Rapid PHP 2018 15.5
IBDAC 6.4
Online Course Booking Script 1.3.3
Database Workbench Pro 5.6.4
Job Portal Script 1.3.2
The C# PDF Library 5.2
PostgreSQL Data Access Components 6.0
Virtual Data Access Components 11.0
HTMLPad 2018 15.5
WeBuilder 2018 15.5
SentiMask SDK Trial 2.0.0
Track Order For Magento 2 1.0.0
Calendar 365 For Dynamics CRM 4.0
Scimbo 1.2
Odoo Furnito Theme 1.0
Top Code
Hotel Management System Restaurant Version 5.25
Azizi search engine script PHP 4.1.10
Travel Booking script 1.0.4
Chessgra 1.1
Keno Game 1.I
VChess 6.x-1.x-dev
Killer Guestbook Script 1.1
RLS Algorithm Demo 1.0
PHP MLM Software 2.0.1
College Management System Script 1.0.4
Spider(rader) Chart for Multi Data 1.0
Simple Radar_system_simulation 1.0
The Spherical K-means algorithm 1.0
Discrete Frechet Distance 1.0
AJ Matrix v2.6
Top Rated
VisualNEO Web 2018.12.15
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
ADO.NET Provider for ExactTarget 1.0
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
ATN Site Builder 3.0
Availability Booking Calendar PHP 1.0
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