R help - Apr 2007 - Calculating Variance-covariance matrix for a multivariate normal distribution.

Dear all R users,

I wanted to calculated a sample Variance covariance matrix of a five-variate
normal distribution. However I stuck to calculate each element of that matrix.
My question is should I calculate ordinary variance and covariances, taking
pairwise variables? or I should take partial covariance between any two
variables, keeping other fixed. In my decent opinion is I should go for the
second option?

Your help will be highly appreciated.

Thanks and regards,
stat

       
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stat stat wrote:
> Dear all R users,
>
> I wanted to calculated a sample Variance covariance matrix of a
five-variate normal distribution. However I stuck to calculate each element of
that matrix. My question is should I calculate ordinary variance and
covariances, taking pairwise variables? or I should take partial covariance
between any two variables, keeping other fixed. In my decent opinion is I should
go for the second option?
>
>   
The definition is the former, though...
> Your help will be highly appreciated
>   
> Thanks and regards,
> stat
>
>        
> ---------------------------------
>
> 	[[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> 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.
>

Dear "stat",

Interesting claim to a name!

In any case, var(X) where X is the data matrix with n rows of 5-variables should
do the trick.

Btw, please read the posting guide: your question is legitimate, hiding your
identity ("stat stat") is not.

Best wishes,
Ranjan


On Sat, 28 Apr 2007 16:36:55 +0100 (BST) stat stat <stat700004 at
yahoo.co.in> wrote:
> Dear all R users,
> 
> I wanted to calculated a sample Variance covariance matrix of a
five-variate normal distribution. However I stuck to calculate each element of
that matrix. My question is should I calculate ordinary variance and
covariances, taking pairwise variables? or I should take partial covariance
between any two variables, keeping other fixed. In my decent opinion is I should
go for the second option?
> 
> Your help will be highly appreciated.
> 
> Thanks and regards,
> stat
> 
>        
> ---------------------------------
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> 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.
>