Finds a rotation matrix with maximum correlation between the variables.
Number of variables (rows/columns) required for the rotation matrix.
Finding rotation matrices (approximately) maximising the correlations between the variables can be useful in some simulation study settings, for example when the purpose is to study the effect of high correlations on the performance of some statistical method.
Returns the p x p square rotation matrix.
Pepler, P.T. (2014). The identification and application of common principal components. PhD dissertation in the Department of Statistics and Actuarial Science, Stellenbosch University.
rotationmat.maxcor(p = 5)
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