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## How to make a covariance matrix

Exists(a(i, 1) Then d a(i, 1 Empty If Not.

If you make an outlook wish, I can keep going.It supposes that (as I took from your post) that the StockID are in column A, year in column B, month in col C and return in col.But before doing anything on it, I see you number your portfolio(s) 1 and 2, whereas you refer elsewhere only to "the portfolio".Do you mean that your covariance matrix bramenjam zonder suiker maken does not have an inverse?Note that we are calculating the partial correlation coefficient between variables mathY_a/math and mathY_b/math conditional on all other variables mathmathbfY_c/math.Jun 5th, 2007, 02:59 AM #4, hi, If youre happy with VBA code you might try the following.Code: Sub covars_etc2 n w a Range(a2, Cells(n, 5 set yr Set mn set stk for i 1 To n - 1 If Not stk.I have a large array with stock returns that looks like this: 123456;1990;1;0.05;1 234567;1990;1;0.06;1 345678;1990;1;0.02;2.The relationship between covariance inverse and partial correlation is je lippen dikker maken given by: mathrho(Y_a, Y_b mathbfY_c) such that the partial correlation matrix entries at (a,b mathOmega_a,b/math are given by mathrho(Y_a, Y_b mathbfY_c math as above.The original question was: How can I get the partial correlation matrix using the covariance matrix for my data?

I did some experiments with array formulas like but that didn't work.

Exists(a(i, 3) Then d a(i, 3 Empty.

For example, consider the covariance matrix that arises from.

My question would be, what exactly do you mean to say with taking the inverse doesnt work?

So effectively, your answer would be to just choose a random column.X repmat(rand(10,1 1,2 C cov(X Which column causes it to be not positive definite?Thanks alot in advance!Or do you mean that you assumed that for the partial correlation matrix being defined as mathOmega/math and the covariance matrix being defined as mathSigma/math, then mathOmega_a,b Sigma-1_a,b/math or something like that?For p 1 To n - 1 For q 1 To yrc For r 1 To mnc For s 1 To stc If yrke(q - 1) a(p, 2) And _ mnke(r - 1) a(p, 3) And _ stke(s - 1) a(p, 1) Then x(q,.Generally, if I have a table of data, with n columns corresponding to n variables with N observations, I can calculate the covariance of columns a and b, using excel covar function, covar(range of first data values, range of second data values) To keep things.Next i stke ys: stc unt yrke ys: yrc unt mnke ys: mnc unt, reDim x(1 To yrc, 1 To mnc, 1 To stc).If there would be 100 different stock IDs, I would like to calculate a 100x100 matrix that contains the covariances of the returns of the stocks of that portfolio for a specific year.Try this out on some data where you know the result, and see if it is the sort of thing you want.Column 1 or column 2?Also suppose you have your indicated headings in row 1 at the top of each column.You can use Excel, if you dataset is not too big.Just use a good tool that will yield a positive definite matrix, and do so efficiently.