Correlations Statistical behavior in which random variables tend to behave in related fashions Correlations calculated from covariance matrix Specifically, the parameter estimates from an estimation are typically correlated Any correlated group of random variables can be expressed as a linear combination of uncorrelated random variables by finding the eigenvectors(inear combinations)and eigenvalues(variances of uncorrelated random variables) 03/1802 12.540Lec1203/18/02 12.540 Lec 12 3 Correlations • Statistical behavior in which random variables tend to behave in related fashions • Correlations calculated from covariance matrix. Specifically, the parameter estimates from an estimation are typically correlated • Any correlated group of random variables can be expressed as a linear combination of uncorrelated random variables by finding the eigenvectors (linear combinations) and eigenvalues (variances of uncorrelated random variables)