r - How to do a "correlation matrix" with categorical, ordinal and ...
Oct 2, 2018 · You don't since correlation does not work for categorical variables, you have to do something else with those, t-tests and such.
PCA on correlation or covariance: does PCA on correlation ever make ...
In principal component analysis (PCA), one can choose either the covariance matrix or the correlation matrix to find the components (from their respective eigenvectors). These give different result...
Completing a $3 \times 3$ correlation matrix - Cross Validated
Great answer. I would add the following: The popular way of obtaining gamma is to attempt to find the gamma that would lead to the correlation matrix of smallest nuclear norm (aka ky-fan norm) possible …
PCA on correlation or covariance? - Cross Validated
Jul 19, 2010 · PCA on correlation is much more informative and reveals some structure in the data and relationships between variables (but note that the explained variances drop to $64\%$ and $71\%$). …
Eigenvalues/Eigenvectors of Correlation and Covariance matrices
Apr 23, 2023 · Thus if one is the set of eigenvalues of a correlation matrix, the other set is the eigenvalues of a suitable covariance matrix. The second question is the non-trivial part: given a set …
eigenvalues - Why does correlation matrix need to be positive semi ...
I have been researching the meaning of positive semi-definite property of correlation or covariance matrices. I am looking for any information on Definition of positive semi-definiteness; Its imp...
How to use Pearson correlation correctly with time series
Jan 13, 2015 · I have 2 time-series (both smooth) that I would like to cross-correlate to see how correlated they are. I intend to use the Pearson correlation coefficient. Is this appropriate? My …
machine learning - What's the correct approach to measure …
Dec 22, 2021 · Binary & Continuous: Point-biserial correlation coefficient -- a special case of Pearson's correlation coefficient, which measures the linear relationship's strength and direction.
linear algebra - Correlation matrix from Covariance matrix ...
From a matrix algebra point of view the answer is fairly simple. Assume your covariance matrix is $\Sigma$ and let $$ D =\sqrt { \text {diag}\left ( {\Sigma} \right)} $$ then the correlation matrix is given …
matrices - Why is it important for a correlation matrix to be positive ...
Aug 3, 2020 · Now I understand the definition of positive semidefiniteness but I am struggling to understand as to why a Correlation matrix must be positive semidefinite. What are the effects of …