Normalized covariance

Sometimes, one is interested in a normalized covariance. Such a relationship is defined as the linear correlation coefficient, rAB -... 

Instead of trying to use the covariance itself as a standard for comparing the degree of statistical association of different pairs of variables, we apply a scale factor to it, dividing each individual deviation from the average by the standard deviation of the corresponding variable. This results in a sort of normalized covariance, which is called the correlation coefficient of the two variables (Eq. (2.9)). This definition forces the correlation coefficient of any pair of random variables to always be restricted to the [—1,+1] interval. The correlations of different pairs of variables are then measured on the same scale (which is dimensionless, as can be deduced from Eq. (2.9)) and can be compared directly. 

While the covariance depends on the scaling of the features, the correlation coefficient rjk is a normalized covariance and is independent from scaling (equation 6) ... 

T Ichiye, M Karplus. Collective motions m proteins A covariance analysis of atomic fluctuations m molecular dynamics and normal mode simulations. Proteins Stiaict Eunct Genet 11 205-217, 1991. 

Measurement noise covariance matrix R The main problem with the instrumentation system was the randomness of the infrared absorption moisture eontent analyser. A number of measurements were taken from the analyser and eompared with samples taken simultaneously by work laboratory staff. The errors eould be approximated to a normal distribution with a standard deviation of 2.73%, or a varianee of 7.46. 

Finally, an infinite set of random vectors is defined to be statistically independent if all finite subfamilies are statistically independent. Given an infinite family of identically distributed, statistically independent random vectors having finite means and covariances, we define their normalized sum to be the vector sfn, , sj where... 

We shall conclude this section by investigating the very interesting behavior of the probability density functions of Y(t) for large values of the parameter n. First of all, we note that both the mean and the covariance of Y(t) increase linearly with n. Roughly speaking, this means that the center of any particular finite-order probability density function of Y(t) moves further and further away from the origin as n increases and that the area under the density function is less and less concentrated at the center. For this reason, it is more convenient to study the normalized function Y ... 

These relations were derived on the assumption that the normalization of the spinors was u u =1. It is oftentimes useful (for covariance reasons) to normalize the spinors so that uu = constant. The relation between these two normalizations is readily obtained. Upon multiplying Eq. (9-307) by (p E(p),s) on the left, we obtain... 

The standard way to answer the above question would be to compute the probability distribution of the parameter and, from it, to compute, for example, the 95% confidence region on the parameter estimate obtained. We would, in other words, find a set of values h such that the probability that we are correct in asserting that the true value 0 of the parameter lies in 7e is 95%. If we assumed that the parameter estimates are at least approximately normally distributed around the true parameter value (which is asymptotically true in the case of least squares under some mild regularity assumptions), then it would be sufficient to know the parameter dispersion (variance-covariance matrix) in order to be able to compute approximate ellipsoidal confidence regions. 

If the approximation (Lq. 3.5) is assumed to hold exactly we can derive the usual asymptotic results. The Plb estimator is asymptotically normal with mean p and covariance matrix... 

These various covariance models are Inferred directly from the corresponding indicator data i(3 z ), i-l,...,N. The indicator kriging approach is said to be "non-parametric, in the sense that it draws solely from the data, not from any multivariate distribution hypothesis, as was the case for the multi- -normal approach. 

Equations (41.15) and (41.19) for the extrapolation and update of system states form the so-called state-space model. The solution of the state-space model has been derived by Kalman and is known as the Kalman filter. Assumptions are that the measurement noise v(j) and the system noise w(/) are random and independent, normally distributed, white and uncorrelated. This leads to the general formulation of a Kalman filter given in Table 41.10. Equations (41.15) and (41.19) account for the time dependence of the system. Eq. (41.15) is the system equation which tells us how the system behaves in time (here in j units). Equation (41.16) expresses how the uncertainty in the system state grows as a function of time (here in j units) if no observations would be made. Q(j - 1) is the variance-covariance matrix of the system noise which contains the variance of w. 

Therefore, on statistical grounds, if the error terms (e,) are normally distributed with zero mean and with a known covariance matrix, then Q( should be the inverse of this covariance matrix, i.e.,... 

If we assume that the residuals in Equation 2.35 (e,) are normally distributed, their covariance matrix ( ,) can be related to the covariance matrix of the measured variables (COV(sy.,)= LyJ through the error propagation law. Hence, if for example we consider the case of independent measurements with a constant variance, i.e. 

The least squares estimator has several desirable properties. Namely, the parameter estimates are normally distributed, unbiased (i.e., (k )=k) and their covariance matrix is given by... 

A valuable inference that can be made to infer the quality of the model predictions is the (l-a)I00% confidence interval of the predicted mean response at x0. It should be noted that the predicted mean response of the linear regression model at x0 is y0 = F(x0)k or simply y0 = X0k. Although the error term e0 is not included, there is some uncertainty in the predicted mean response due to the uncertainty in k. Under the usual assumptions of normality and independence, the covariance matrix of the predicted mean response is given by... 

When the Gauss-Newton method is used to estimate the unknown parameters, we linearize the model equations and at each iteration we solve the corresponding linear least squares problem. As a result, the estimated parameter values have linear least squares properties. Namely, the parameter estimates are normally distributed, unbiased (i.e., (k )=k) and their covariance matrix is given by... 

The above expressions for the CO l (k ) and of are valid, if the statistically correct choice of the weighting matrix Q, (i=1,...,N) is used in the formulation of the problem. Namely, if the errors in the response variables (e, i=l,...,N) are normally distributed with zero mean and covariance matrix,... 

Essentially this is equivalent to using (Sf/dk kj instead of (<3f/<3k,) for the sensitivity coefficients. By this transformation the sensitivity coefficients are normalized with respect to the parameters and hence, the covariance matrix calculated using Equation 12.4 yields the standard deviation of each parameter as a percentage of its current value. 

The new estimate of the normalized parameter covariance matrix, P , is obtained from... 

We also use a linearized covariance analysis [34, 36] to evaluate the accuracy of estimates and take the measurement errors to be normally distributed with a zero mean and covariance matrix Assuming that the mathematical model is correct and that our selected partitions can represent the true multiphase flow functions, the mean of the error in the estimates is zero and the parameter covariance matrix of the errors in the parameter estimates is ... 

Zero-centered data means that each sensor is shifted across the zero value, so that the mean of the responses is zero. Zero-centered scaling may be important when the assumption of a known statistical distribution of the data is used. For instance, in case of a normal distribution, zero-centered data are completely described only by the covariance matrix. 

Statistical properties of a data set can be preserved only if the statistical distribution of the data is assumed. PCA assumes the multivariate data are described by a Gaussian distribution, and then PCA is calculated considering only the second moment of the probability distribution of the data (covariance matrix). Indeed, for normally distributed data the covariance matrix (XTX) completely describes the data, once they are zero-centered. From a geometric point of view, any covariance matrix, since it is a symmetric matrix, is associated with a hyper-ellipsoid in N dimensional space. PCA corresponds to a coordinate rotation from the natural sensor space axis to a novel axis basis formed by the principal... 

---