[R] help computing a covariance

From: Eugene Salinas (R) <r-eugenesalinas_at_comcast.net>
Date: Fri 02 Jul 2004 - 23:27:33 EST


Hi everyone,

(This is related to my posting on chi-squared from a day ago. I have tried simulating this but I am still unable to calculate it analytically.)

Let y be an n times 1 vector of random normal variables mean zero variance 1 and x be an n times k vector of random normal variables mean zero variance 1. x and y are independent.

Then P is the projection matrix P=x*inv(x'*x)*x'

I need to figure out the covariance  

Cov ( y'*P*y , (A'*x'*y)^2 ) where A is a constant of dimension k times 1.

thanks, eugene.



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https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Fri Jul 02 23:30:54 2004

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