# Tagged Questions

18 views

### Correlation structures in Linear mixed models

The linear mixed model I want to fit to my data shows some major correlations. Z.transformation already reduced the correlations but not as much as I had hoped. I calculated the variance inflation ...
38 views

### Decomposing a correlation matrix

I'm doing some work on a model implementation. The specific model is the Multi-factor concentration risk model This Paper. Although I don't think the context is necessary for the specific problem I'm ...
60 views

### maximum correlation between two correlation matrices in R

How to estimate maximum observable correlation between two correlation matrices? I need this in order to correct the observed correlation coefficient between two correlation matrices I have ...
52 views

### Can we estimate value of missing correlation in a given correlation matrix?

This question has no practical importance for me, but anyway: I am interested whether we can predict somehow one missing value in a correlation matrix. Obviously, classical regression modeling is not ...
325 views

### What correlation makes a matrix singular and what are implications of singularity or near-singularity?

I am doing some calculations on different matrices (mainly in logistic regression) and I commonly get the error "Matrix is singular", where I have to go back and remove the correlated variables. My ...
432 views

### Why does correlation matrix need to be positive semi-definite and what does it mean to be or not to be positive semi-definite?

I have been researching the meaning of positive semi-definite property of correlation or covariance matrix. Any information on Definition of positive semi-definiteness Its Important properties, ...
21 views

### Rescaling columns of bootstrapped matrix when using matrix multiplication to compute correlation coefficients

If I have $n$ samples and want to compute the pairwise correlation coefficients between $l$ and $m$ variables, I can construct the matrices $A_{l,n}$ and $B_{n,m}$. If I then subtract the mean and ...
97 views

### Why am I not getting a symmetrical correlation matrix in R?

I am trying to obtain the correlation between two matrices of equal dimensions. I have used both column by column correlation and the canonical correlation but I don't get a symmetrical correlation ...
106 views

### Floating point issues when transforming an arbitrary correlation matrix to positive semi-definite

I'm following Peter Jackel's book "Monte Carlo Methods in Finance", where an algorithm for transforming malformed correlation matrices into acceptable correlation matrices (positive semi-definite) to ...
379 views

### Finding the correlation of every row and column between 2 matrices in R, then taking the max and min values

I'm using R, and I need to find the correlation between every row and column of matrix A and B (ex: the correlation between the 1st row of matrix A and 1st column of matrix B, 2nd row of matrix A and ...
541 views

### Measuring correlation between two matrices

I have two matrices A and B of the same dimensions. Each cell a(i,j) represents some parameter I'm interested in, and b(i,j) represents the corresponding value in the other matrix. The cells are not ...
236 views

### How to resample matrices to test for the robustness of their correlation?

I have several populations where I have morphology and diet for each individual. I am interested in the correlation between diet and morphological distances. However the number of individuals in each ...
1k views

### What test is suitable to calculate the correlation between two matrices of spatially distributed variables?

I have two matrices which each represent the distribution of a different variable on the same spatial domain (something like the distribution of cows on a field on one day versus the distribution of ...
455 views

### How to get the correlation between two large (sparse) matrices?

I have two large (sparse) matrices (500000*500000) and would like to perform the mantel test to get a similarity measure. Is there a way to break-up these matrices into smaller ones and perform the ...
208 views

### Off-diagonal range for guaranteed positive definiteness?

Consider the problem of randomly generating a $p \times p$ covariance matrix $\Sigma$ with the diagonal entries constrained to be 1, and the off-diagonal entries \$\Sigma_{ij}=\Sigma_{ji} \sim ...