[R] Calculating Variance-covariance matrix for a multivariate normal distribution.

[Ranjan Maitra]

Dear "stat",

Interesting claim to a name!

In any case, var(X) where X is the data matrix with n rows of 5-variables should do the trick.

Btw, please read the posting guide: your question is legitimate, hiding your identity ("stat stat") is not.

Best wishes,
Ranjan


On Sat, 28 Apr 2007 16:36:55 +0100 (BST) stat stat <stat700004 at yahoo.co.in> wrote:

> Dear all R users,
> 
> I wanted to calculated a sample Variance covariance matrix of a five-variate normal distribution. However I stuck to calculate each element of that matrix. My question is should I calculate ordinary variance and covariances, taking pairwise variables? or I should take partial covariance between any two variables, keeping other fixed. In my decent opinion is I should go for the second option?
> 
> Your help will be highly appreciated.
> 
> Thanks and regards,
> stat
> 
>        
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