Confidence ellipse / eigenvectors

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AbnormalDistribution
Posts: 6
Joined: Fri Feb 09, 2018 12:07 pm

Confidence ellipse / eigenvectors

Postby AbnormalDistribution » Sun Sep 29, 2019 8:37 pm

I want to create a 95% confidence ellipse over my x y scatter plot. Here is a reference visual:

error_ellipse1.png
error_ellipse1.png (17.34 KiB) Viewed 356 times


I have not found anything in the eviews GUI, but perhaps there are some features I can use to help me.

If eviews doesn't have built-in support for confidence ellipses, where can I find the values for the pink and green lines in the confidence ellipse picture above? In other words, assuming I have a group comprised of the series: x,y -- how can I retrieve the eigenvectors of the covariance matrix for x & y?

Specifically, I'll need the eigenvector of the covariance matrix that corresponds to the largest eigenvalue (one for x and one for y). This will get me closer to computing the ellipse from scratch.

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