1. P

    Calculating model (Analytically)

    Hi, can anyone help me out with this question? Assume that the true data generating process (the true model) is: y = 20 −30(x + r) + 4w + ê. Suppose that we also know that E(ê|x) = E(ê|w) = E(ê|r) = 0, Cov(x, w) = 20, Cov(x, r) = Cov(w, r) = 0, Var(x) = 10, Var(w) = 8 and Var(r) = 6. What...
  2. S

    Uncovered interest rate parity

    Hi all I have to proof that the uncovered interest rate parity is hold if c_2(s)=E_1[c_2]. The two first order conditions are given as: Then I simpliefied this: I think, if the Cov-Term equals zero, the UIP is fullfilled. Could it be that the Cov-Term is zero, since our...
  3. J

    Covariance of the population SxyU

    Hey, I need some help to figure out this problem! I'm asked to express SxyU, the covariance of the population, as a function of four totals and propose an estimator based on this result. I started something, but as you will see, I only have 3 totals and I'm not even sure of what I did. Should...
  4. N

    joint probability distributions

    Hi, I am very puzzled as to how they achieved μ=2/5 in the example below. I understand that μ is just expected value which would mean summing x or y with its possible realizations. I'm thinking this is very obvious, however, I just can't see how they arrived at 2/5, which just proves I...
  5. A

    Deriving the Mahalanobis distance formula, where is the mistake in my reasoning?

    The squared Mahalanobis distance/length of an observation vector x from its mean (assuming its the zero vector) is given by x^T * S^-1 * x S is the covariance matrix for any given observation x. x^T is the transpose of x This is my reasoning for how its derived. The covariance matrix S is...
  6. G

    Too many variables - Multivariate analysis of covariance - New to this

    Hi there. This will be my first post on the forums, I'm a Psychology student currently conducting research at an internship. We treat IDD (Intellectual Developmental Disorder) patients with different types of therapy, and I've been assigned to study the dosage components of DBT (Dialectic...
  7. M

    Joint Probability

    Hi All, I'm currently in a grad course with a nice complement of stats which we have been tasked to learn ourselves. Having some difficulties understanding joint probabilities. Specifically, I have a problem where we have 3 possible outcomes with probabilities p1=0.4, p2=0.1 and p3=0.5. If we...
  8. V

    ANCOVA - conflicting results, how to code test

    I carried out a group project on a uni field course looking at whether a species' vigilance was affected by whether or not there were young in the group. We recorded the number of adults and young and then observed how much of the time the adults in each group were vigilant. We also recorded...
  9. S

    impose internal coherence (positive definite) on a matrix

    how do I turn a matrix which bears the resemblance of a variance covariance matrix into a "positive definite" matrix (=a usable var cov matrix) ? is there any way?
  10. A

    Is AR(1)-ARCH(1) covariance stationary?

    I'm becoming confused by this. Say I have the following model: I know that an AR(1) is covariance stationary if |\phi|<1. I also know that an ARCH(1) is covariance stationary if \alpha_0, \alpha_1>0 and \alpha_1<1 . If those conditions hold does that imply that an AR(1)-ARCH(1) is...
  11. T

    Covariance of two products

    Covariance of two products I am in a stats class and the professor has asked us to calculate the covariance and the standard deviation of the total revenue. I was given the below information: X Unit Price = $10 E[X] = 10,000 Var(X) = 1,000,000 Y Unit Price = $5 E[Y] = 7,000...
  12. I

    Covariance of two variables, multiple individuals

    I have a data set with two variables (A and B), but variable B was measured for multiple individuals (B1, B2, B3, B4). Is there a way to calculate a single covariance (and, at that, sum of cross products) for my data? Or, does the nature of the data dictate a separate covariance calculation for...
  13. S

    Is it possible to have covariance zero?

    Hello, I am doing my homework for statistic course, and I've got some problems with a test. So I put these data in excel and then calculated covariance...and it's zero! Am I missing something? Can you please help me solving this issue? Thanks a lot, Best regards
  14. M

    covariance between two observations belonging to the same block

    Hi, does anyone know how to find the expression for the covariance between two observations belonging to the same block for a balanced complete block planning? (block has random effect and treatment has fixed effect).
  15. ?

    [ols] what is cov(xbar, bhat)?

    For a linear regression, y(i) = a + b x(i) + e(i), what is cov(xbar, bhat), ie, the covariance between the sample mean of x, xbar, and the ols estimate of the slope, bhat? A solution for cov(ybar, bhat) is provided here...
  16. V

    cov (yi, yi*)

    covariances least-squares regression solved delete
  17. S

    [Time series models] covariance in MA(1) process

    Hello, the following question is about a stationary MA(1) process (Moving Average of Order 1) - see attached image. Epsilon represents white noise, i.i.d. E(epsilon) = 0. Can someone please help me understand the last part of the bottom equation? I do understand the term inside the...
  18. I

    Discriminant Analysis Within-Group versus Separate-Group Covariance Matrices Predict

    Hi, I'm hoping someone can help. I have ran a discriminant analysis along with the prediciton rates for the 5 groups in my study. I am wondering the reason why I get different prediction rates when using within-group versus separate group covariance matrices even though my coefficients are...
  19. S

    Common Variance as a Separate Variable

    Hi all, I have a regression model exhibiting significant multicollinearity and am trying to figure out how to correct for it, or at least to minimize the effect. I found a suggestion for the following: Treat the common variance as a separate variable and decontaminate each covariate by...
  20. E

    Time series help, Derive COV in a random walk process

    I could use some help deriving the covariance between Y_t and Y_t+h given the random walk process Y_t = Y_t-1+e_t And also the correlation between Y_t and Y_t+h Got stuck.. :( Also got another problem where i need to state whether pbl_t is correlated with e_(t-1) in this regression q_t=...