A Regression-Based Interpretation of the Inverse of the Sample Covariance Matrix
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...
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| Format: | Article |
| Language: | English |
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McMaster University
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| Series: | Spreadsheets in Education |
| Online Access: | http://sie.scholasticahq.com/article/4613-a-regression-based-interpretation-of-the-inverse-of-the-sample-covariance-matrix.pdf |