Recently I had to compute the trace of a product of square matrices. That is, I had two large nxn matrices, A and B, and I needed to compute the quantity trace(A*B). Furthermore, I was going to compute this quantity thousands of times for various A and B as part
Both covariance matrices and correlation matrices are used frequently in multivariate statistics. You can easily compute covariance and correlation matrices from data by using SAS software. However, sometimes you are given a covariance matrix, but your numerical technique requires a correlation matrix. Other times you are given a correlation matrix,
Sample covariance matrices and correlation matrices are used frequently in multivariate statistics. This post shows how to compute these matrices in SAS and use them in a SAS/IML program. There are two ways to compute these matrices: Compute the covariance and correlation with PROC CORR and read the results into
