Past exam of the mathematics course of the University of Oxford / Undated / Prelims / Mathematics III resit / 7 / c / i

Table of contents
- Solution i

Solution

For the random vector

ϵ = (ϵ_{1}, \dots, ϵ_{n})^{⊤}

, its covariance matrix is

Σ = E [(ϵ - E ϵ) (ϵ - E ϵ)^{⊤}], Σ_{ij} = Cov (ϵ_{i}, ϵ_{j}) .

Its diagonal entries are variances, and its off-diagonal entries measure pairwise covariance. Finite second moments make every entry well defined.

 Ancestors (12)

 View article source

 Discussion (0)

There are no discussions about this article yet.

 Articles by others on the same topic (0)

There are currently no matching articles.

  See all articles in the same topic Create my own version