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Results tagged with st.statistics
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user 43792
Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.
1
vote
0
answers
100
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What is the range of a positive random variable after whitening?
Let ${\bf x}\in\mathbb R^N$ be a positive multivariate random variable, i.e.
$$x_i\in [0,\infty).$$
What is the range after whitening, i.e. the range of ${\bf y} = \sqrt{C}^{-1}{\bf x}$ with the co …
- 51
4
votes
3
answers
5k
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Online estimation of covariance matrix
I am trying to dynamically estimate the (low-dimensional) covariance matrix ${\mathbb E}[{\bf x}_t{\bf x}_t^\top]$ of a stream of data points ${\bf x}_t\in{\mathbb R}^N$ online, without any memory. Fo …
- 51