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 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.

Transcribed Image Text:

Σ = 62 1 0 0 P1 1 -02 ρι =92 1 -Ρ2 ρι 0 =92 P1 0 1 Σ = 62 1 0 0 P1 1 -02 ρι =92 1 -Ρ2 ρι 0 =92 P1 0 1

Answer rating: 100% (QA)

PHYTON PROGRAM import math def meanarr n sum 0 for i in range0 n sum sum arri return sum n Function to find covariance def covariancearr1 arr2 n sum 0 ... View the full answer