Exchangeable correlation
Definition taught in Repeated measures in R, part of Using R
Exchangeable correlation
| Type | Definition |
| Taught in | Repeated measures in R |
| Part | Using R |
An exchangeable correlation matrix for a cluster of K observations, with common pairwise correlation \rho, is R(\rho)=(1-\rho)I_K+\rho\,\mathbf{1}\mathbf{1}^{\top}. Its eigenvalues are 1-\rho, with multiplicity K-1, and 1+(K-1)\rho, with multiplicity one. R(\rho) is positive semidefinite if and only if -1/(K-1)\le\rho\le 1. At either endpoint it is singular.
Used in
- Taught in Repeated measures in R, where the derivation and examples are.
- All 1 questions on Repeated measures in R
See also
Exchangeability · Correlation · Eigenvalues and eigenvectors · Multiple testing · Positive definite matrix