Re: [R] How to find the variance-covariance matrix of a random-vector using R

[Bill Dunlap]

?var

E.g.,

> x <- mvtnorm::rmvnorm(1e5, mean=101:105, sigma=matrix(1,5,5)+diag(11:15))
> dim(x)
[1] 10  5
> var(x)
   [,1]   [,2]   [,3]   [,4]  [,5]
[1,] 11.9666055  1.0603876  0.9627672  1.0371084  0.983217
[2,]  1.0603876 13.0774518  1.0228972  0.9261868  1.059799
[3,]  0.9627672  1.0228972 13.9296063  1.0444007  1.051089
[4,]  1.0371084  0.9261868  1.0444007 15.1556199  1.052573
[5,]  0.9832170  1.0597985  1.0510888  1.0525734 15.965351

-Bill

On Tue, Sep 20, 2022 at 4:24 AM Sun, John  wrote:

> Dear All,
> Reposting as plain text rather than html.
>
> I realized that R does not support finding the variance-covariance matrix
> of a random-vector. It must take two arguments. Numpy's cov doesn't give
> sensible results.
> I ask in a bigger context of finding the variance-covariance matrix of the
> vector of the dependent variables per subject which is the covariance form
> of the working-correlation matrix in GEE by Liang-Zeger (1986). Knowing it
> gives me better inference via efficiency improvement.
>
> I have not received a reply on these posts, so I ask.
>
> https://stats.stackexchange.com/questions/589022/how-to-find-covy-i-using-software-in-the-context-sum-i-1-mathrmk
>
> https://stackoverflow.com/questions/73755242/is-there-a-r-function-or-python-for-finding-the-covariance-matrix-of-a-random-ve
>
> Best regards,
> Kpjm
>
> __
> R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

[[alternative HTML version deleted]]

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[R] How to find the variance-covariance matrix of a random-vector using R

[Sun, John]

Dear All,
Reposting as plain text rather than html. 

I realized that R does not support finding the variance-covariance matrix of a 
random-vector. It must take two arguments. Numpy's cov doesn't give sensible 
results.
I ask in a bigger context of finding the variance-covariance matrix of the 
vector of the dependent variables per subject which is the covariance form of 
the working-correlation matrix in GEE by Liang-Zeger (1986). Knowing it gives 
me better inference via efficiency improvement.

I have not received a reply on these posts, so I ask.
https://stats.stackexchange.com/questions/589022/how-to-find-covy-i-using-software-in-the-context-sum-i-1-mathrmk
 
https://stackoverflow.com/questions/73755242/is-there-a-r-function-or-python-for-finding-the-covariance-matrix-of-a-random-ve

Best regards,
Kpjm

__
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.