search for: sigma_xy

...empting to create a series of bivariate normal distributions. So using the mvtnorm library I have created the following code ... # Standard deviations and correlation sig_x <- 1 sig_y <- 1 rho_xy <- 0.0 # Covariance between X and Y sig_xy <- rho_xy * sig_x *sig_y # Covariance matrix Sigma_xy <- matrix(c(sig_x ^ 2, sig_xy, sig_xy, sig_y ^ 2), nrow = 2, ncol = 2) # Load the mvtnorm package library("mvtnorm") # Means mu_x <- 0 mu_y <- 0 # Simulate 1000 observations set.seed(12345) # for reproducibility xy_vals <- rmvnorm(1000, mean = c(mu_x, mu_y), sigma = Sigma_...

...trugling with cancor procedure in R. I cannot figure out the meaning of xcoef and of yxcoef. Are these: 1. standardized coefficients 2. structural coefficients 3. something else? I have tried to simulate canonical correlation analysis by checking the eigenstructure of the expression: Sigma_xx %*% Sigma_xy %*% Sigma_yy %*% t(Sigma_xy). The resulting eigenvalues were the same as the squared values of cancor$cor. I have normalized the resulting eigenvectors, the a's with sqrt(a'%*%Sigma_xx%*%t(a)), and similarly the b's with sqrt(b'%*%Sigma_yy%*%t(b)). The results differed considerab...