[問題] Covariance matrix的問題
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如果 我有三個equation 如下:
U1i = λLi + ε1i
U2i = λLi + ε2i
U3i = Li + ε3i
where
Li ~ N(0,1) standard normal distribution
ε1i ~ Logit(0,πsquare/3) standard logistic distribution
ε2i ~ Logit(0,πsquare/3) standard logistic distribution
ε3i ~ Logit(0,πsquare/3) standard logistic distribution
所以
Cov (U1i, U2i, U3i) = [λsquare +πsquare /3 λ λ]
[ λsquare+πsquare/3 λ]
[ 1+πsquare/3]
請問上面的Covariance Matrix 是否正確@@?
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