Re: st: How to estimate var-cov matrix from data

[Richard Williams <Richard.A.Williams.5@nd.edu>]

At 07:57 PM 2/15/2004 -0800, wei liu wrote:
> Hi,
>
> I have a very easy question to ask. I have two random
> variables with 1000 observations each. How can I
> generate the variance-covariance matrix for them? I
> wanna save this matrix as a matrix variable for
> further use. Is there a simple way to do so? Can I
> further generalize this method for higher dimension?
>
> Thanks a lot!
>
> Wei
Try -help mataccum-

The commands would be something like

. mat accum cov = x y, noconstant deviations
(obs=1000)

. mat cov = cov/(_N-1)

. mat list cov

symmetric cov[2,2]
           x          y
x  9.0365155
y  3.0502898   3.982194


To confirm that you did it right,

. corr x y, cov
(obs=1000)

             |        x        y
-------------+------------------
           x |  9.03652
           y |  3.05029  3.98219

You can do it with more than 2 variables; and you can make things more 
complicated by using if, in and weights parameters.


-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
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