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

From: hrubin@xxxxxxxxxxxxxxxxxxxx (Herman Rubin)
Date: 26 Apr 2005 20:17:10 -0500

In article <1114526496.714647.303200@xxxxxxxxxxxxxxxxxxxxxxxxxxxx>,
<tonylpan@xxxxxxxxx> wrote:
>Dear All,

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

ANY correlation or covariance matrix must be positive
semidefinite, sample or population.
--
This address is for information only. I do not claim that these views
are those of the Statistics Department or of Purdue University.
Herman Rubin, Department of Statistics, Purdue University
hrubin@xxxxxxxxxxxxxxx Phone: (765)494-6054 FAX: (765)494-0558
.

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

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