Exercise Solution 3.21
- The correlation matrix has determinant |ρ| = .009314.
- Based upon item (a), Z is multicollinear.
- The eigenvalues λ1, λ2 and λ3 are 33.0548, 15.6856 and 0.0759 respectively. The corresponding eigenvectors form the columns of
- The principal components of Z are the normalized eigenvectors of the covariance matrix ΣZ. The eigenvectors we presented for item (c) are normalized, so they are the principal components of Z.