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 共查询到19条相似文献,搜索用时 93 毫秒
1.
章舜仲  王树梅 《大学数学》2011,27(1):195-198
相关系数指度量两个随机变量间线性关系的无量纲指标,在研究了相关系数矩阵性质及其与多元随机变量线性相关性之间关系的基础上,提出多元线性相关系数的定义,用于衡量多个变鼋间线性相关强弱的无量纲指标.分析表明,所提多元线性相关系数能够较全面地反映变量间的线性相关强度.  相似文献   

2.
相关系数与相关性度量   总被引:2,自引:0,他引:2  
研究了度量相关性的两个主要工具:线性相关系数和尾部相关系数.线性相关系数反映了变量间的线性相关性,这对于一般的椭圆型分布是合适的.但如果随机变量具有不对称的尾部变化特征时,要用尾部相关系数描述它们之间的相关性.通过相关函数C opu la,对沪深股市的尾部相关系数进行了定量分析.结果表明:沪深股市具有较强的相关性.  相似文献   

3.
本文在积分概率距离意义下提出了两个随机变量之间一种新的弱相依系数,并证明了此系数可获得协方差不等式和强大数定律,而且对于相关随机变量序列,我们还可以进一步研究矩不等式.  相似文献   

4.
本文讨论多元随机变量之期望向量、协方差矩阵与边际分布、条件分布的期望向量、协方差矩阵之间的关系.还讨论了多元随机变量服从多元正态分布的某个充分条件.  相似文献   

5.
运用随机变量和的特征函数定义研究了随机变量和的特征函数在原点处二阶导数与协方差矩阵的关系,并给了一个简单的应用.  相似文献   

6.
从随机变量矩的角度给出了分布对称的充要条件,讨论了偏度、协方差与分布对称之间的关系.  相似文献   

7.
本文讨论二元Freund型指数分布的独立性和不相关性,分别获得了两个服从二元Freund型指数分布随机变量相互独立及不相关的充分必要条件;并得到了其相关系数的精确表达式,证明了在对称情形其相关系数落入负三分之一与一之间,文末证明了X,Y之间的渐近独立性.  相似文献   

8.
利用构造二次函数的方法,证明了改进的协方差不等式,并在证明过程中得到3个推论,进一步探讨了随机变量具有线性关系时的若干结论.  相似文献   

9.
学生成绩的相关分析   总被引:4,自引:0,他引:4  
本文提供了在多维随机变量中寻找主成分的一种方法 ,证明了其余分量均可表示为主成分的线性组合 ,解决了多维随机变量的各个分量之间所存在的线性关系问题 .通过用本文的方法对两个学期的 14门课的学生成绩进行相关分析并找出了主成分及与之相关的课程 ,比较了与相关系数矩阵的不同 ,也讨论了课程设置的合理性  相似文献   

10.
相关系数是概率统计中的一个重要概念,其绝对值的大小反应了两个随机变量线性关联程度的高低.我们考虑以下两个问题,通过一些简单的不等式以期对其性质有更深入的了解.  相似文献   

11.
In this article,the author obtains the large deviation principles for the empir- ical correlation coefficient of two Gaussian random variables X and Y.Especially,when considering two independent Gaussian random variables X,Y with the means EX. EY (both known),wherein the author gives two kinds of different proofs and gets the same results.  相似文献   

12.
The correlation coefficient of non-normal variables is expressed as a function of the correlation coefficient of normal variables using piece-wise linear approximation of each univariate transform of normal to anything, and the second order moments of a multiply truncated bivariate normal distribution. For the inverse problem, an algorithm iterates this analytic function in order to assign a normal correlation coefficient to two non-normal variables. The algorithm is applied for the generation of randomized bivariate samples with given correlation coefficient and marginal distributions and used in a randomization test for bivariate nonlinearity. The test correctly does not reject the null hypothesis of linear correlation if the nonlinearity is plausible and due to the sample transform alone.  相似文献   

13.
Uncertainty theory as a branch of axiomatic mathematics has been widely used to deal with human uncertainty. The two commonly used numerical characteristics of uncertain variables, the expected value and the variance together with their mathematical properties have been discussed and applied to real optimization problems in an uncertain environment. As a further study, in this paper, we focus on the covariance and correlation coefficient of uncertain variables. The definitions and calculation formulae of covariance and correlation coefficient of two uncertain variables are suggested by means of their inverse distributions. Then we show that the correlation coefficient of uncertain variables is essentially a measure of the relevance of distributions of uncertain variables. Finally, the relation between variance and covariance is analysed and represented with some equalities and inequalities.  相似文献   

14.
The aggregation of financial and economic time series occurs in a number of ways. Temporal aggregation or systematic sampling is the commonly used approach. In this paper, we investigate the time interval effect of multiple regression models in which the variables are additive or systematically sampled. The correlation coefficient changes with the selected time interval when one is additive and the other is systematically sampled. It is shown that the squared correlation coefficient decreases monotonically as the differencing interval increases, approaching zero in the limit. When two random variables are both added or systematically sampled, the correlation coefficient is invariant with time and equal to the one-period values. We find that the partial regression and correlation coefficients between two additive or systematically sampled variables approach one-period values as n increases. When one of the variables is systematically sampled, they will approach zero in the limit. The time interval for the association analyses between variables is not selected arbitrarily or the statistical results are likely affected.  相似文献   

15.
We consider the Bell and Bell-Clauser-Horne-Shimony-Holt inequalities for two-particle spin states. It is known that these inequalities are violated in experimental verification. We show that this can be explained because these inequalities are proved for correlation functions of random variables that are totally unrelated to one another, while the verification is done using correlation functions in which random variables refer to a pair of particles forming a two-particle state. In the case of entangled states, these random functions are dependent, and their correlation coefficient is nonzero. We give inequalities that explicitly involve this correlation coefficient. For factorable and separable states, these inequalities coincide with the standard Bell and Bell-Clauser-Horne-Shimony-Holt inequalities. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 158, No. 2, pp. 234–249, February, 2009.  相似文献   

16.
利用高阶变系数之间的关系,通过适当的线性变换,得到了五阶变系数线性非齐次方程常系数化的条件,给出了一类高阶变系数线性非齐次微分方程的新解法.  相似文献   

17.
Hao Tao 《应用概率统计》2012,28(6):637-646
A new nonlinear covariance based on -expectation, -covariance, is introduced and some properties of -covariance including commutativity, homogeneity, additivity are studied. According to these results, the sufficient and necessary condition of -covariance satisfied homogeneity and additivity is obtained. That is , a linear function of . Correlation coefficient based on -expectation does not rang from -1 to 1 and it does not reflect the linear relationship between two random variables, either.  相似文献   

18.
Techniques used by Szatrowski (1979, 1983) to solve the testing and estimation problem for linear patterned covariance are used to obtain results for the linear patterned correlation problem in the presence of missing data. Iterative algorithms are given for finding the maximum-likelihood estimates (MLE). Asymptotic distributions of the MLE and likelihood-ratio statistics (LRS) are obtained using the delta method.  相似文献   

19.
本文采用Bayes方法从有逆gamma先验信息出发,得到了非张性模型中方差和协方差分量的估计,本文中的方差和协方差分量包含相关系数,而其他学者提出的线性模型中方差和协方差分量的Bayes估计只是本文的特殊情况.  相似文献   

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