文章基本信息

标题：A Regression-Based Interpretation of the Inverse of the Sample Covariance Matrix
本地全文：下载
作者：Kwan, Clarence C. Y.
期刊名称：Spreadsheets in Education (eJSiE)
印刷版ISSN：1448-6156
出版年度：2014
卷号：7
期号：1
页码：3
出版社：Bond University
摘要：The usefulness of covariance and correlation matrices is well-known in various academic fields. Matrix inversion, if required in an analytical setting, tends to mask the intuition in interpreting the corresponding empirical or experimental results. Drawing on the finance literature in mean-variance portfolio analysis, this paper presents pedagogically a regression-based interpretation of the inverse of the sample covariance matrix. Microsoft ExcelTM plays an important pedagogic role in this paper. The availability of various Excel functions and computational tools for numerical illustrations provides flexibility for instructors in the delivery of the corresponding analytical materials.
关键词：matrix inversion; sample covariance matrix; multiple linear regression