R help - Mar 2006 - variance from correlated observations

Hi all.
A statistical question. I have to estimate the variance of the sum:

X(1) + X(2) + ...+ X(n)

from an observed sample, where X(i) are *correlated* and not necessarly
identically distributed. Someone can suggest a simple strategy
(I hope by exploiting some already present R package) for obtaining such
estimate from an observed vector X[1:n]?

Tnx all,
Antonio, Fabio Di Narzo.

	[[alternative HTML version deleted]]

You need to know the covariance of the Xs.  The sum is just a linear
function of the Xs, so its variance is a function of a quadratic form
involving the covariance matrix of the Xs.

Andy

From: Antonio, Fabio Di Narzo
> 
> Hi all.
> A statistical question. I have to estimate the variance of the sum:
> 
> X(1) + X(2) + ...+ X(n)
> 
> from an observed sample, where X(i) are *correlated* and not 
> necessarly identically distributed. Someone can suggest a 
> simple strategy (I hope by exploiting some already present R 
> package) for obtaining such estimate from an observed vector X[1:n]?
> 
> Tnx all,
> Antonio, Fabio Di Narzo.
> 
> 	[[alternative HTML version deleted]]
> 
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