[R] variance from correlated observations

Liaw, Andy andy_liaw at merck.com
Wed Mar 15 12:40:33 CET 2006

You need to know the covariance of the Xs.  The sum is just a linear
function of the Xs, so its variance is a function of a quadratic form
involving the covariance matrix of the Xs.


From: Antonio, Fabio Di Narzo
> Hi all.
> A statistical question. I have to estimate the variance of the sum:
> X(1) + X(2) + ...+ X(n)
> from an observed sample, where X(i) are *correlated* and not 
> necessarly identically distributed. Someone can suggest a 
> simple strategy (I hope by exploiting some already present R 
> package) for obtaining such estimate from an observed vector X[1:n]?
> Tnx all,
> Antonio, Fabio Di Narzo.
> 	[[alternative HTML version deleted]]
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