Question on covariance matrix loop

Question

Mike 2013-10-30

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评论： Azzi Abdelmalek 2013-10-31

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??

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Answer 1

Shashank Prasanna 2013-10-30

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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

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Shashank Prasanna 2013-10-31

mean(s,3) will work if you store it this way

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Answer 2

Azzi Abdelmalek 2013-10-30

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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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Mike 2013-10-31

Thanks!- This works great. If I want to create an average of the 2000 matrices (stored as "s"), does mean(s,3) work?

Azzi Abdelmalek 2013-10-31

What is the size of the average result?

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