Correlation Matrix of a Multivariate Normal Distribution and Positive Semidefinite

Dear All,

Is that true that a correlation matrix from a multivariate normal
distribution must be positive semidefinite?

Thanks very much,

Tony

.

Follow-Ups:
- Re: Correlation Matrix of a Multivariate Normal Distribution and Positive Semidefinite
  - From: Herman Rubin
- Re: Correlation Matrix of a Multivariate Normal Distribution and Positive Semidefinite
  - From: Paul Schneider

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