35 is the sum of squares for the cholesterol level variable (variability of values within each group). And the between-group covariance matrix (H) is: Similarly, each value in this matrix represents ...

If a portfolio has multiple assets, its volatility is calculated using a matrix. A variance-covariance matrix is computed for all the assets. The vector of the weights of the assets in the ...

This short paper demonstrates how a covariance matrix estimated using log returns of multiple assets in their respective base currencies can be converted directly into a covariance matrix in a single ...

By Alissa Wilkinson Neo, the hero of “The Matrix,” is sure he lives in 1999. He has a green-hued cathode-ray-tube computer screen and a dot-matrix printer. His city has working phone booths.

If the source matrix is a covariance matrix, then using Cholesky decomposition is more efficient. The implementation of SVD-Jacobi matrix inverse presented in this article emphasizes simplicity and ...

See https://analytic-musings.com/2023/12/30/honey-covariance/ for full writeup. I replicate Wolf & Ledoit's - Honey: I Shrunk the Covariance Matrix (2003) paper ...

(2009) to target the diagonal elements of the sample covariance matrix. We derive the closed-form solution of the shrinkage parameter and show by simulation that, when the diagonal elements of the ...