I was having this conversation with someone, and I feel like I have an explanation, but would greatly appreciate if someone could verify whether what I'm thinking is just completely wrong.
He made the argument that if you know that a variable [a] is correlated with a linear combination of variables [C], then you know something about the correlations between [a] and the constituent variables of [C]. And vice versa.
I feel like this is wrong, but I don't have a great explanation of why. There are two reasonings I've come up with, but both feel like I just pulled them out of nowhere, and I could use some feedback:
- Creating a linear combination of variables, variables which potentially are uncorrelated with each other, could be seen as equivalent to adding random noise to any one of those variables, which would mean that you can't really say anything about the correlations with some outside variables after the combination.
- I had this explanation that is very vague in my head and involves vectors and conic sections, but I'm not sure how to make it make sense. Basically, if you know the correlations between [a] and the constituent variables of [C], you can construct a particular vector space within which the correlation of [a] and [C] must lie, but I don't think that works in the opposite direction if you start with a correlation between [a] and [C].
Any feedback would be greatly appreciated.