[EMAIL PROTECTED] (rishi) wrote in message news:<[EMAIL PROTECTED]>... > A further question - assume x,y,z are mean zero normally-distributed variables. > Given three correlation coefficients Pxy, Pxz, Pyz > How are they related? > In particular, is it true that > Pxy*Pxz = Pyz?
The only constraint other than the obvious one that each correlation must be in [-1,1] is that the determinant of the correlation matrix, 1 + 2*Pxy*Pxz*Pyz - Pxy^2 - Pxz^2 - Pyz^2, must be nonnegative. In particular, no correlation is constrained to equal the product of the other two. Normality is irrelevant. . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
