Advance Multivariate

Given the covariances between variables, one can write an invertible linear transformation that “uncorrelated” the variables. Contrariwise, one can transform a set of uncorrelated variables into variables with given covariances. This transformation is called Cholesky Transformation; represented by a matrix that is the “Square Root” of the covariance matrix. The …

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The bivariate correlation analysis measures the strength of the relationship between two variables. One may be required to find the strength of the relationship between two sets of variables. In this case, canonical correlation is an appropriate technique for measuring the strength of the relationship between two sets of variables. …

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