Question on covariance matrix loop
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Really basic question from a beginner- I have a 60,000 by 4 matrix (AB) and want to calculate 2000 covariance matrices ( every 30 rows down, and all four columns).
Do you guys know whats wrong with my logic? The below sample loops the 2nd and third covariance matrices.
for i = 1:2 j=i*31; k= j+30; VarCov(i) = cov(AB( j:k ,:)); end
I get an error message of:
In an assignment A(I) = B, the number of elements in B and
I must be the same.
But doesnt varcov consists of 2 matrices??
回答（2 个）
Shashank Prasanna
2013-10-30
If you want to stack 2000 cov matrices then you may want to use 3D matrices,
VarCov(:,:,i) = cov(AB(j:k,:));
Here for each i you will have a 4x4 cov matrix
1 个评论
Shashank Prasanna
2013-10-31
mean(s,3) will work if you store it this way
Azzi Abdelmalek
2013-10-30
a=rand(60000,4);
b=permute(reshape(a',4,30,[]),[2 1 3]);
for k=1:size(b,3)
s{k,1}=cov(b(:,:,k));
end
out=cell2mat(s);
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2013-10-31
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