- Oxy Ox Oy The Coefficient Of Correlation Between X And Y Is Pxy Where Oxy Is The Covariance Between X And Y And Oy Is 1 (48.33 KiB) Viewed 35 times
= OXY Ox Oy The coefficient of correlation between X and Y is Pxy where Oxy is the covariance between X and Y and Oy is the standard deviation of X. The correlation matrix of a random P11 P12 Pip P21 P22 P2p vector X = (X,,,X,) is defined as p = corr(X) = where Pij is Ppi Pp2 the correlation between X and X; . (3) 2.1 Explain why (i) Pii = 1, i = 1,2,-* ,p and (ii) p is a symmetric matrix. 2.2 Let & denote the covariance matrix of X . (1) Verify the formula E = DpD, where D= Diag (o 02 0,). (ii) How do you calculate p for a given covariance matrix = ? (5) Ppp