I have previously blogged about how to convert a covariance matrix into a correlation matrix in SAS (and the other way around). However, I still get questions about it, perhaps because my previous post demonstrated more than one way to accomplish each transformation. To eliminate all confusion, the following SAS/IML
A variance-covariance matrix expresses linear relationships between variables. Given the covariances between variables, did you know that you can write down an invertible linear transformation that "uncorrelates" the variables? Conversely, you can transform a set of uncorrelated variables into variables with given covariances. The transformation that works this magic is
In two previous blog posts I worked through examples in the survey article, "Robust statistics for outlier detection," by Peter Rousseeuw and Mia Hubert. Robust estimates of location in a univariate setting are well-known, with the median statistic being the classical example. Robust estimates of scale are less well-known, with
