Using JMP Student Edition, Third Edition

250 11 Multivariate Platform Computations and Statistical Details

Inverse Correlation Matrix

The inverse correlation matrix provides useful multivariate information. The diagonal elements of the

inverse correlation matrix, sometimes called the variance inflation factors (VIF), are a function of how

closely the variable is a linear function of the other variables. Specifically, if the correlation matrix is

denoted R and the inverse correlation matrix is denoted R

-1

, the diagonal element is denoted and is

computed as:

,

where R

i

2

is the coefficient of variation from the model regressing the i

th

explanatory variable on the

other explanatory variables. Thus, a large r

ii

indicates that the ith variable is highly correlated with any

number of the ...