Covariance matrix
- From: "saneman" <asd@xxxxxx>
- Date: Fri, 16 May 2008 13:52:16 +0200
I have this matrix:
A =
1 1000
2 1010
3 1020
4 1030
5 1040
6 1050
7 1060
8 1070
9 1080
10 1090
If the first column is the variable X and the second column is the variable
Y I would like to see how correlated the data is. Computing the covariance
matrix gives:
C =
9.1667 91.6667
91.6667 916.6667
I have read that if an element in C is 0 there is no covariance between the
corresponding variables, if its positive there is a covariance between the
two variables and if its negative there is a covariance between X and -Y.
In C the covariance between X and Y is 91.6667. But how should that number
be interpretated and does the magnitude have anything to say?
If I plot the above data X and Y does not seem very correlated (close to
each other).
.
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