# Difference between revisions of "Eleisha's Segment 18: The Correlation Matrix"

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1. Random points i are chosen uniformly on a circle of radius 1, and their <math> (x_i,y_i) </math> coordinates in the plane are recorded. What is the 2x2 covariance matrix of the random variables <math> X </math> and <math>Y </math>? (Hint: Transform probabilities from <math> \theta</math> to <math> x </math>. Second hint: Is there a symmetry argument that some components must be zero, or must be equal?) | 1. Random points i are chosen uniformly on a circle of radius 1, and their <math> (x_i,y_i) </math> coordinates in the plane are recorded. What is the 2x2 covariance matrix of the random variables <math> X </math> and <math>Y </math>? (Hint: Transform probabilities from <math> \theta</math> to <math> x </math>. Second hint: Is there a symmetry argument that some components must be zero, or must be equal?) |

## Latest revision as of 10:03, 3 April 2014

** To Calculate: **

1. Random points i are chosen uniformly on a circle of radius 1, and their **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle (x_i,y_i) }**
coordinates in the plane are recorded. What is the 2x2 covariance matrix of the random variables **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle X }**
and **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Y }**
? (Hint: Transform probabilities from **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle \theta}**
to **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle x }**
. Second hint: Is there a symmetry argument that some components must be zero, or must be equal?)

2. Points are generated in 3 dimensions by this prescription: Choose **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle \lambda }**
uniformly random in **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle (0,1) }**
. Then a point's**Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle (x,y,z)}**
coordinates are **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle (\alpha\lambda,\beta\lambda,\gamma\lambda) }**
. What is the covariance matrix of the random variables **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle (X,Y,Z)}**
in terms of **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle \alpha,\beta,\text{ and }\gamma }**
? What is the linear correlation matrix of the same random variables?

** To Think About: **

1. Suppose you want to get a feel for what a linear correlation**Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle r=0.3 }**
(say) looks like. How would you generate a bunch of points in the plane with this value of **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle r }**
? Try it. Then try for different values of **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle r }**
. As **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle r }**
increases from zero, what is the smallest value where you would subjectively say "if I know one of the variables, I pretty much know the value of the other"?

2. Suppose that points in the **Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle (x,y) }**
plane fall roughly on a 45-degree line between the points (0,0) and (10,10), but in a band of about width w (in these same units). What, roughly, is the linear correlation coefficient

** Back To: ** Eleisha Jackson