Find covariance of matrix transformation V X = [ <mtable rowspacing="4pt" c

hushjelpw4

hushjelpw4

Answered question

2022-05-18

Find covariance of matrix transformation
V X = [ 4 4 4 16 ]
If Y 1 = X 1 + 2 and Y 2 = X 2 X 1 + 1, then how do I find the variance matrix for Y?
I have tried the following where I emitted the constants as my guess is they don't affect variance:
C o v ( Y 1 , Y 1 ) = C o v ( X 1 , X 1 ) = V a r ( X 1 ) = 4
C o v ( Y 2 , Y 2 ) = C o v ( X 2 X 1 , X 2 X 1 ) = C o v ( X 2 , X 2 X 1 ) C o v ( X 1 , X 2 X 1 ) = C o v ( X 2 , X 2 ) C o v ( X 2 , X 1 ) C o v ( X 1 , X 2 ) + C o v ( X 1 , X 1 ) = 16 4 4 + 4 = 12
Variance = [ 4 0 0 12 ]

Answer & Explanation

grindweg1v

grindweg1v

Beginner2022-05-19Added 12 answers

Find a 2 × 2 matrix A such that Y = v + A X for some vector v and apply the general rule:
V ( v + A X ) = A V ( X ) A T
I think that your result is correct.
It might well be that X 1 and X 2 X 1 are uncorrelated while X 1 and X 2 are not uncorrelated.

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