For the general case of jointly distributed random variables x and y, Goodman [3] derives the exact variance of the product xy. For the special case where x and y are stochastically independent, he ...

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Dr. JeFreda R. Brown is a financial ...

A principal component analysis of a correlation matrix treats all variables as equally important. A principal component analysis of a covariance matrix gives more weight to variables with larger ...

An important part of the identification and diagnostic checking of space-time ARMA models is the evaluation of the significance of the autocorrelations of the observations and residuals, respectively.