TOPIC 3

VARIANCE- COVARIANCE
PROPAGATION

(WEEK 6)
PREPARED BY:
ASIAH BINTI ABDUL SATAR
 LINEAR MODEL

Variance-covariance for a set of variables can be

propagated to a set of other variables with variance-
covariance propagation method

If x1, x2 is a set of observations, it is associated with

y1, y2 by the following equation:
y1 = a1x1 + a2x2 + c1
y2 = b1x1 + b2x2 + c2
 Equations in matrix form

 y1  a1 a2   x1  c1 
 y   b     
b2   x2  c2 
 2  1

 Or summarized
Y = Gx + C

• Where

y  a a2   x1  c1 
Y   1 G 1 x  C   
 y2  b1 b2  x 
 2 c 2 
G is the coefficient matrix for the functional model. In this case, the variance
covariance matrix for x1, x2 given as below:

  x12  x1x 2 
x  x 2 x1  x 22 
 

Variance-covariance matrix of Y can be calculated by the propagation error formula

Y = Gx + C
By using the expected value

∑y = G∑x GT

Where:

∑y = Variance-covariance matrix of the unknowns Y

∑x = Variance-covariance matrix X
G = Coefficient matrix G
GT =Transposition of the coefficient matrix G
By connecting the system matrix as below;
y1 = a1x1 + a2x2 + c1
y2 = b1x1 - b2x2 + c2

In the form of a matrix system

y 
Y   1
 y2 
∑y = G∑x GT
 EXAMPLE 1

y1 = 2x1 + x2 - 2x3 + 3
y2 = 3x1 - x2 – 6
 4.5 1.2  1.3
x  1.2 3.2  2.1
 1.3 2.1 6.3 

From the equation, calculate :

a) Variance-covariance matrik (∑y)
b) Standard Deviation
c) Correlation Coefficient
 EXAMPLE 2

y1 = x1 + ½ x2 - 3x3 + 4
y2 = 4x1 - x2 + ½ x3 – 6

From the equation, calculate :

a) Variance-covariance matrik (∑y)
b) Standard Deviation
c) Correlation Coefficient