Functions and Variables for specific multivariate descriptive statistics (Maxima Manual)

Next: Functions and Variables for statistical graphs, Previous: Functions and Variables for descriptive statistics, Up: Package descriptive [Contents][Index]

### 39.4 Functions and Variables for specific multivariate descriptive statistics

Function: cov (matrix)

  The covariance matrix of the multivariate sample, defined as

                    n
                   ====
                1  \           _        _
            S = -   >    (X  - X) (X  - X)'
                n  /       j        j
                   ====
                   j = 1

  where X_j is the j-th row of the sample matrix.

  Example:

      (%i1) load (descriptive)$
      (%i2) s2 : read_matrix (file_search ("wind.data"))$
      (%i3) fpprintprec : 7$  /* change precision for pretty output */

      (%i4) cov (s2);
            [ 17.22191  13.61811  14.37217  19.39624  15.42162 ]
            [                                                  ]
            [ 13.61811  14.98774  13.30448  15.15834  14.9711  ]
            [                                                  ]
      (%o4) [ 14.37217  13.30448  15.47573  17.32544  16.18171 ]
            [                                                  ]
            [ 19.39624  15.15834  17.32544  32.17651  20.44685 ]
            [                                                  ]
            [ 15.42162  14.9711   16.18171  20.44685  24.42308 ]

  See also function `cov1`.

Function: cov1 (matrix)

  The covariance matrix of the multivariate sample, defined as

                    n
                   ====
               1   \           _        _
         S  = ---   >    (X  - X) (X  - X)'
          1   n-1  /       j        j
                   ====
                   j = 1

  where X_j is the j-th row of the sample matrix.

  Example:

      (%i1) load (descriptive)$
      (%i2) s2 : read_matrix (file_search ("wind.data"))$
      (%i3) fpprintprec : 7$ /* change precision for pretty output */

      (%i4) cov1 (s2);
            [ 17.39587  13.75567  14.51734  19.59216  15.5774  ]
            [                                                  ]
            [ 13.75567  15.13913  13.43887  15.31145  15.12232 ]
            [                                                  ]
      (%o4) [ 14.51734  13.43887  15.63205  17.50044  16.34516 ]
            [                                                  ]
            [ 19.59216  15.31145  17.50044  32.50153  20.65338 ]
            [                                                  ]
            [ 15.5774   15.12232  16.34516  20.65338  24.66977 ]

  See also function `cov`.

Function: global_variances (matrix)
Function: global_variances (matrix, logical_value)

  Function `global_variances` returns a list of global variance measures:

  - total variance: `trace(S_1)`,
  - mean variance: `trace(S_1)/p`,
  - generalized variance: `determinant(S_1)`,
  - generalized standard deviation: `sqrt(determinant(S_1))`,
  - efective variance `determinant(S_1)^(1/p)`, (defined in: Peña, D. (2002) Análisis de datos multivariantes; McGraw-Hill, Madrid.)
  - efective standard deviation: `determinant(S_1)^(1/(2*p))`.

  where p is the dimension of the multivariate random variable and S_1 the covariance matrix returned by `cov1`.

  Example:

      (%i1) load (descriptive)$
      (%i2) s2 : read_matrix (file_search ("wind.data"))$

      (%i3) global_variances (s2);
      (%o3) [105.338342060606, 21.06766841212119, 12874.34690469686,
               113.4651792608501, 6.636590811800795, 2.576158149609762]

  Function `global_variances` has an optional logical argument: `global_variances (x, true)` tells Maxima that `x` is the data matrix, making the same as `global_variances(x)`. On the other hand, `global_variances(x, false)` means that `x` is not the data matrix, but the covariance matrix, avoiding its recalculation,

      (%i1) load (descriptive)$
      (%i2) s2 : read_matrix (file_search ("wind.data"))$
      (%i3) s : cov1 (s2)$

      (%i4) global_variances (s, false);
      (%o4) [105.338342060606, 21.06766841212119, 12874.34690469686,
               113.4651792608501, 6.636590811800795, 2.576158149609762]

  See also `cov` and `cov1`.

Function: cor (matrix)
Function: cor (matrix, logical_value)

  The correlation matrix of the multivariate sample.

  Example:

      (%i1) load (descriptive)$
      (%i2) fpprintprec : 7 $
      (%i3) s2 : read_matrix (file_search ("wind.data"))$

      (%i4) cor (s2);
            [   1.0     .8476339  .8803515  .8239624  .7519506 ]
            [                                                  ]
            [ .8476339    1.0     .8735834  .6902622  0.782502 ]
            [                                                  ]
      (%o4) [ .8803515  .8735834    1.0     .7764065  .8323358 ]
            [                                                  ]
            [ .8239624  .6902622  .7764065    1.0     .7293848 ]
            [                                                  ]
            [ .7519506  0.782502  .8323358  .7293848    1.0    ]

  Function `cor` has an optional logical argument: `cor(x,true)` tells Maxima that `x` is the data matrix, making the same as `cor(x)`. On the other hand, `cor(x,false)` means that `x` is not the data matrix, but the covariance matrix, avoiding its recalculation,

      (%i1) load (descriptive)$
      (%i2) fpprintprec : 7 $
      (%i3) s2 : read_matrix (file_search ("wind.data"))$
      (%i4) s : cov1 (s2)$

      (%i5) cor (s, false); /* this is faster */
            [   1.0     .8476339  .8803515  .8239624  .7519506 ]
            [                                                  ]
            [ .8476339    1.0     .8735834  .6902622  0.782502 ]
            [                                                  ]
      (%o5) [ .8803515  .8735834    1.0     .7764065  .8323358 ]
            [                                                  ]
            [ .8239624  .6902622  .7764065    1.0     .7293848 ]
            [                                                  ]
            [ .7519506  0.782502  .8323358  .7293848    1.0    ]

  See also `cov` and `cov1`.

Function: list_correlations (matrix)
Function: list_correlations (matrix, logical_value)

  Function `list_correlations` returns a list of correlation measures:

  - precision matrix: the inverse of the covariance matrix S_1,

               -1     ij
              S   = (s  )
               1         i,j = 1,2,...,p

  - multiple correlation vector: (R_1^2, R_2^2, ..., R_p^2), with

               2          1
              R  = 1 - -------
               i        ii
                       s   s
                            ii

    being an indicator of the goodness of fit of the linear multivariate regression model on X_i when the rest of variables are used as regressors.

  - partial correlation matrix: with element (i, j) being

                                 ij
                                s
              r        = - ------------
               ij.rest     / ii  jj\ 1/2
                           |s   s  |
                           \       /

  Example:

      (%i1) load (descriptive)$
      (%i2) s2 : read_matrix (file_search ("wind.data"))$
      (%i3) z : list_correlations (s2)$
      (%i4) fpprintprec : 5$ /* for pretty output */

      (%i5) z[1];  /* precision matrix */
            [  .38486   - .13856   - .15626   - .10239    .031179  ]
            [                                                      ]
            [ - .13856   .34107    - .15233    .038447   - .052842 ]
            [                                                      ]
      (%o5) [ - .15626  - .15233    .47296    - .024816  - .10054  ]
            [                                                      ]
            [ - .10239   .038447   - .024816   .10937    - .034033 ]
            [                                                      ]
            [ .031179   - .052842  - .10054   - .034033   .14834   ]

      (%i6) z[2];  /* multiple correlation vector */
      (%o6)      [.85063, .80634, .86474, .71867, .72675]

      (%i7) z[3];  /* partial correlation matrix */
            [  - 1.0     .38244   .36627   .49908   - .13049 ]
            [                                                ]
            [  .38244    - 1.0    .37927  - .19907   .23492  ]
            [                                                ]
      (%o7) [  .36627    .37927   - 1.0    .10911    .37956  ]
            [                                                ]
            [  .49908   - .19907  .10911   - 1.0     .26719  ]
            [                                                ]
            [ - .13049   .23492   .37956   .26719    - 1.0   ]

  Function `list_correlations` also has an optional logical argument: `list_correlations(x,true)` tells Maxima that `x` is the data matrix, making the same as `list_correlations(x)`. On the other hand, `list_correlations(x,false)` means that `x` is not the data matrix, but the covariance matrix, avoiding its recalculation.

  See also `cov` and `cov1`.

Next: Functions and Variables for statistical graphs, Previous: Functions and Variables for descriptive statistics, Up: Package descriptive [Contents][Index]