Timeline for Reference for the sum and difference of highly correlated variables being almost uncorrelated
Current License: CC BY-SA 3.0
9 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Aug 21, 2014 at 15:36 | comment | added | gung - Reinstate Monica | Closely related: What is the intuition behind the independence of $X_2 - X_1$ and $X_2 + X_1$, $X_i\sim\mathcal N(0,1)$? | |
| Aug 21, 2011 at 2:32 | answer | added | Karl | timeline score: 3 | |
| Jul 29, 2011 at 23:13 | comment | added | probabilityislogic | One alternative way to get around having to provide a reference. You can consider it a case of modelling the principal components of your data $X,Y$, rather than the individual variables themselves. That would be an easy thing to provide a reference for | |
| Jul 27, 2011 at 13:32 | comment | added | whuber♦ | Tukey doesn't prove anything in EDA: he proceeds by example. For an example of looking at $y+x$ versus $y-x$ see Exhibit 3 of chapter 14, p. 473 (the discussion begins on p. 470). | |
| Jul 27, 2011 at 10:37 | comment | added | Dmitrij Celov | May be indeed to consider the 2 variable case as the separate case of multivariate rotation? | |
| Jul 27, 2011 at 10:25 | comment | added | Dmitrij Celov | And the prove indeed is more than trivial with equal variances :( $Cov(X+Y,X-Y) = E((X-\mu_X)+(Y-\mu_Y))((X-\mu_X)-(Y-\mu_Y)) = Var X - Var Y = 0$... Good luck, Rob. | |
| Jul 27, 2011 at 3:42 | comment | added | shabbychef | Wikipedia has a reference to a textbook at en.wikipedia.org/wiki/… ; not sure that helps... | |
| Jul 27, 2011 at 3:34 | history | tweeted | twitter.com/#!/StackStats/status/96060794793500674 | ||
| Jul 27, 2011 at 1:38 | history | asked | Rob Hyndman | CC BY-SA 3.0 |