Cross-covariance

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Related lectures (32)

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Conditional Gaussian Generation

Explores the generation of multivariate Gaussian distributions and the challenges of factorizing covariance matrices.

Fluctuation-dissipation relations for reversible diffusions

Covers linear response, steady states, Girsanov transforms, and covariance limits in reversible diffusions.

Probability and Stochastic Processes: Fundamentals and Applications

Discusses the fundamentals of probability and stochastic processes, focusing on random variables, their properties, and applications in statistical signal processing.

Variance, Covariance, and Correlation

Explores variance, covariance, and correlation in statistics, essential for data analysis.

Central Limit Theorem: Properties and Applications

Explores the Central Limit Theorem, covariance, correlation, joint random variables, quantiles, and the law of large numbers.

Air Pollution: Correlation Analysis

Covers correlation and cross-correlations in air pollution data analysis, including time series, autocorrelations, Fourier analysis, and power spectrum.

Wiener Process: Definition and Properties

Explains the definition and properties of the Wiener process, focusing on its covariance function and continuous paths.

Independence and Covariance

Explores independence and covariance between random variables, discussing their implications and calculation methods.

Multivariate Methods I

Explores multivariate methods like PCA, SVD, PLS, and ICA for dimensionality reduction in functional brain imaging.

Stochastic Processes: Stationarity in Continuous Time - Part 2

Discusses weak-sense stationarity in continuous-time stochastic processes and the calculation of autocorrelation and cross-correlation functions.