Mathematics · Multivariate Analysis
Let X = (X1, X2, X3)T be a 3 × 1 random vector with E(X) = (3, 2, 1)T and covariance matrix Cov(X) = Σ = 3-20-23-20-23. Suppose that Y = (Y1, Y2, Y3)T = 1√3X. Then the value of the multiple correlation coefficient between Y1 and (Y2, Y3) equals:
- 11√3
- 22√3
- 3√25
- 42√5✓
Correct answer
2√5
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