Question: Consider the correlation matrix What conditions must be imposed on ?1 and ?2 in order to get a covariance matrix. Find the covariance matrix of

Consider the correlation matrix

= 62 1 0 0 P1 1 -02 =92 1 -2 0

What conditions must be imposed on ?1 and ?2 in order to get a covariance matrix.

Find the covariance matrix of X1 and X3 when X2 and X4 are held fix.

Determine the partial correlation between X1 and X3 when X2 and X4 are held fix.

Find the Principle components of X1, X2, X3 and X4.

= 62 1 0 0 P1 1 -02 =92 1 -2 0 =92 P1 0 1

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