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Question: Singular covariance matrix

Question:Singular covariance matrix

mah00 35 Maple
March 21 2012
0

Hi everyone,

 

I want to create a Gaussian PDF so I need to calculate Determinant(sigma) with sigma the covariance matrix of a gaussian variable.

If we call this variable alpha (which is a 12 dimension vector and represents the noise in a discrete dynamical equation), then sigma_ij=ExpectedValue(alpha_i*alpha_j)-ExpectedValue(alpha_i)*ExpectedValue(alpha_j)

and this is zero most of the time! So the covariance matrix is singular and the determinant is zero. 

 

How can I solve this problem? Am I calculating the matrix with a wrong way?

 

Thanks
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