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Mar 20, 2015 at 2:40 comment added Glen_b (ctd) ... It's just based off directly applying linearity of covariance, the relationship between covariance and correlation, and some basic properties of variance. Actually I've never seen any reference on the latent variable stuff. I've heard it mentioned once or twice before, and then it's just a matter of figuring out how it works when you need it.
Mar 20, 2015 at 2:34 comment added Glen_b It's very hard for me to judge the right level of book for your purposes; for the correlation calculations, I guess this, this, or this should cover it - or many other things nearby one of them/on the same shelf at a university library. But the information is all on wikipedia ... (ctd)
Mar 20, 2015 at 0:02 comment added Vass thank you for the time and effort you put to answer this question and working with me. I believe that I have learned alot from this. Could you recommend a topic list or reading list to learn more about topics close to this and on how to investigate correlations? I believe that my basics might not be as solid as they should be.
Mar 19, 2015 at 21:21 history edited Glen_b CC BY-SA 3.0
added discussion of correlation in latent vars
Mar 19, 2015 at 21:14 comment added Glen_b I've made some additions describing how the correlations work.
Mar 19, 2015 at 21:12 history edited Glen_b CC BY-SA 3.0
added discussion of correlation in latent vars
Mar 19, 2015 at 18:00 comment added Vass (thanks for the answer and making the question better) I am trying to understand the annotation you wrote, "the latent variables have correlations 0 between x and y, 0.8 between x and z, and 0.6 between y and z.* I find a correlation coefficient of 0 between xu and yu, as I expected, and the 0.8 for corrcoef(zu,xu), and 0.6 for corrcoef(zu,yu). How does this arise? With 0.5xu and 0.5yu the corrcoeffs are 0.7 for each. With 1*xu and 2*yu it is 0.45 and 0.9 respectively. Could you explain how the correlation of zu relates to the components in the summation of random numbers?
Mar 18, 2015 at 20:43 vote accept Vass
Mar 17, 2015 at 0:06 history edited Glen_b CC BY-SA 3.0
more detail in plot
Mar 16, 2015 at 23:52 history edited Glen_b CC BY-SA 3.0
added 73 characters in body
Mar 16, 2015 at 23:32 history answered Glen_b CC BY-SA 3.0