Monthly Archives: January 2014

Covariance matrix

The covariance matrix of random variables is an matrix that . The correlation matrix is the covariance matrix of standardized random variables . For any random variable , we have , where . So the covariance matrix is positive-semidefinite, since … Continue reading

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The forth business day of the month

What is the probability that the forth business day of the month is Thursday?(forget about the holidays on weekdays) This is like asking what is the probability that the first day of the month is Sat, Sun, or Monday. So … Continue reading

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