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    Basic correlation matrix question




    I am new to statistics. I have a signal u(n) = .4s(n)+.7s(n-1)-.1s(n-2) +v(n) where v(n) has variance .003

    E[u(n)u(n-k)] yields .4^2 +.7^2 +(-.1)^2 +0.003 for k = 0 , .4(.7)-.7(.1) for k = 1, and .4(-.1) for k=2 .

    So = .663 for k = 0 , .21 for k =1 and -0.04 for k =2

    So should the correlation matrix have the main diagonal .663 , the diagonal above .21 , and the diagonal above that -.04?

    Or should the correlation matrix be symmetric and also have the diagonal below the main diagonal .21 and the diagonal below that -0.04?
    Last edited by nikki101; 02-23-2014 at 08:51 PM.

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    Re: Basic correlation matrix question


    Quote Originally Posted by nikki101 View Post
    Or should the correlation matrix be symmetric
    All correlation matrices are symmetric.
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