Re: Correlation Matrix of a Multivariate Normal Distribution and Positive Semidefinite

From: Paul Schneider <paulibaer@xxxxxxxxx>
Date: Tue, 26 Apr 2005 22:17:46 +0200

tonylpan@xxxxxxxxx wrote:
> Dear All,
>
> Is that true that a correlation matrix from a multivariate normal
> distribution must be positive semidefinite?
>
> Thanks very much,
>
> Tony
>
Depends on the definition. Check

http://en.wikipedia.org/wiki/Multivariate_normal_distribution

p
.

References:
- Correlation Matrix of a Multivariate Normal Distribution and Positive Semidefinite
  - From: tonylpan

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