Timeline for What is the expectation of the average magnitude of correlation in a uniform multidimensional random set?
Current License: CC BY-SA 4.0
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| Oct 8, 2019 at 12:46 | comment | added | user32038 | Thanks to BruceET et al!! Getting a uniform distribution for N=4 is amazing. My main interest is on multi-variate uniform (or normal) distributions, e.g. having 10 dimensions and moderate count N, like 256. The reason for this is that for such cases LDS still works, but I want to know how much it is better e.g. regarding a random set and max absolute correlation. | |
| Sep 6, 2019 at 10:46 | comment | added | Fr1 | The question was interesting, so I appreciated. So don’t misunderstand the following statement. When you write “the correlation can be quite significant” and then in the example you cite an average corr of 6% and a maximum of 10%. Well it is not that much, especially considering that you are simulating a finite number of samples of finite sizes and the independence works based on the expectations, so the maximum realization of 10% may be a very irrelevant thing here. | |
| Sep 6, 2019 at 9:57 | history | edited | BruceET | CC BY-SA 4.0 |
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| Sep 6, 2019 at 9:49 | history | edited | BruceET | CC BY-SA 4.0 |
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| Sep 5, 2019 at 22:36 | comment | added | whuber♦ | The interesting aspect of this question is that it concerns the maximum absolute correlation. That's not easily derivable from a study of pairwise correlations alone because the correlations in a multivariate dataset are (highly) interdependent. | |
| Sep 5, 2019 at 22:33 | history | edited | BruceET | CC BY-SA 4.0 |
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| Sep 5, 2019 at 22:28 | history | edited | BruceET | CC BY-SA 4.0 |
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| Sep 5, 2019 at 22:19 | history | answered | BruceET | CC BY-SA 4.0 |