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variance-covariance matrix (w/o data analysis kit)
How do I calculate the variance/covariance matrix (w/o using the data
analysis kit)? Say I have a matrix X (each column of the matrix represents a different variable), would the consistent variance/covariance matrix be X'X/(N-1)? However, when I calculate the covariance-matrix from the data analysis program, I get a different answer (even considering the n/n-1 recalculation) from X'X/(N-1). They are close but still slightly different. What am I doing wrong? Thank you for your help. |
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