Question

The variance of a sum of random variables is the sum of the elements of the covariance matrix; does this extend to higher-order central moments?

score 134 · Answer 1 · 2021-09-10 15:15:01

134

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The variance of a sum of random variables is the sum of the elements of the covariance matrix; does this extend to higher-order central moments?

Published on 10 Sep 2021 - 15:15

score 37 · Answer 2 · 2026-03-27 18:46:51

37

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how to use correlation to calculate condition expectation

Published on 27 Mar 2026 - 18:46

score 45 · Answer 3 · 2026-04-02 11:37:26

45

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An analytical derivation to decide whether a certain asset should be decided to my portfolio?

Published on 02 Apr 2026 - 11:37

score 240 · Answer 4 · 2021-09-14 06:49:41

240

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Why the multiplication of a covariance matrix with the inverse of its sum with the identity matrix is symmetric?

Published on 14 Sep 2021 - 6:49

score 302 · Answer 5 · 2026-04-01 18:53:34

302

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Computation of whitening matrix for estimation of the covariance matrix for n samples

Published on 01 Apr 2026 - 18:53

score 97 · Answer 6 · 2021-09-18 03:44:50

97

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How can I define a variance-covariance matrix with specified eigen values for simulating multivariate Gaussian distribution samples using MATLAB?

Published on 18 Sep 2021 - 3:44

score 54 · Answer 7 · 2021-09-19 12:35:05

54

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Positive correlation of random with itself under monotone transformation

Published on 19 Sep 2021 - 12:35

score 25 · Answer 8 · 2021-09-20 15:47:23

25

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Derivation of covariance without using matrix operations

Published on 20 Sep 2021 - 15:47

score 94 · Answer 9 · 2026-03-30 00:16:57

94

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When sample size = 3, why this matrix is non-singular?

Published on 30 Mar 2026 - 0:16

score 114 · Answer 10 · 2026-02-23 13:46:15

114

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Show that the covariance operator of a Gaussian measure is uniquely determined and nonnegative

Published on 23 Feb 2026 - 13:46

score 407 · Answer 11 · 2026-02-23 13:42:57

407

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"Fusion" of multiple uncertain estimates with covariance matrices

Published on 23 Feb 2026 - 13:42

score 783 · Answer 12 · 2026-04-02 11:43:02

783

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Relationship between Correlation Matrix and Covariance Matrix

Published on 02 Apr 2026 - 11:43

score 839 · Answer 13 · 2026-04-02 11:35:50

839

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How can dependent events have a correlation of zero?

Published on 02 Apr 2026 - 11:35

score 794 · Answer 14 · 2021-09-25 05:42:59

794

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What's the min/max of covariance between two variables with same mean and variance?

Published on 25 Sep 2021 - 5:42

score 182 · Answer 15 · 2026-03-29 23:24:41

182

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Can division of elements in a vector be approximated with a Jacobian matrix?

Published on 29 Mar 2026 - 23:24

List Question

The variance of a sum of random variables is the sum of the elements of the covariance matrix; does this extend to higher-order central moments?

how to use correlation to calculate condition expectation

An analytical derivation to decide whether a certain asset should be decided to my portfolio?

Why the multiplication of a covariance matrix with the inverse of its sum with the identity matrix is symmetric?

Computation of whitening matrix for estimation of the covariance matrix for n samples

How can I define a variance-covariance matrix with specified eigen values for simulating multivariate Gaussian distribution samples using MATLAB?

Positive correlation of random with itself under monotone transformation

Derivation of covariance without using matrix operations

When sample size = 3, why this matrix is non-singular?

Show that the covariance operator of a Gaussian measure is uniquely determined and nonnegative

"Fusion" of multiple uncertain estimates with covariance matrices

Relationship between Correlation Matrix and Covariance Matrix

How can dependent events have a correlation of zero?

What's the min/max of covariance between two variables with same mean and variance?

Can division of elements in a vector be approximated with a Jacobian matrix?

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