Covariance on historical data

@ Dreary st.dev X = 1.224744871 st.dev Y = 2.121320344 r = 0.866025404 thus cov x,y = 0.8866025404 * 1.224744871 * 2.121320344 = 2.25 this is if you use sample st.dev. cheers

but it’s wrong… you divided the squared deviations by n instead of n-1.

FisherSU Wrote: ------------------------------------------------------- > @ Dreary > > st.dev X = 1.224744871 > st.dev Y = 2.121320344 > r = 0.866025404 > > thus cov x,y = 0.8866025404 * 1.224744871 * > 2.121320344 = 2.25 > > this is if you use sample st.dev. > > cheers —assuming you’re using the TI BA2 calc, I think you’re looking at the wrong numbers, it gives you sigma (which is population), and S subscript X/Y, which is the sample std dev… sigmax = 1.224 Sx = 1.414 sigmay = 2.121 Sy = 2.449 so if you use the sample stats, you have cov x,y = 0.8866 * 1.414*2.449 = 3…

That sample variance where you take sum (x - x-bar)^2/n isn’t a population anything cause it’s got an x-bar in it. About the only thing going for it is it’s maximum likelihood if the x’s are normal.

Dreary u are right, i was so sure sigma is sample variance, even now i could bet that i have used sigma for sample variance notation somewhere. thanks.