Exercise

Variance/Covariance Calculations

In the last exercise you pre-processed the combine data into a matrix A. We now use A to create the variance-covariance matrix of this dataset.

Instructions

100 XP

Create the matrix \(\frac{A^TA}{n-1}\). Call this matrix B.
Show that the [1,1] element of B is the same as the variance of the first column of A.
Show that the [1,2] and [2,1] elements of B are the same as the covariance between the first and second columns of A.