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Results tagged with correlation-matrix
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user 72524
A $k\times k$ matrix of correlations between all pairs of $k$ random variables. All its diagonal elements are equal to one.
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votes
Why does correlation matrix need to be positive semi-definite and what does it mean to be or...
The answer is quite simple.
The correlation matrix is defined thus:
Let $X = [x_1, x_2, ..., x_n]$ be the $m\times n$ data matrix: $m$ observations, $n$ variables.
Define $X_b= [\frac{(x_1-\mu_1 e)}{s …
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