1) Let us say, I have 2x2 matrices A and B. I have another matrix C which is 4x4 , that is , C=[A X ; XT B]. Where X is the 2x2 covariance matrix between A and B. How can I calculate Correlation Coefficient?
The formula of Correlation Coefficient for two random variables X and Y is Corr=Cov(X,Y)/Std(X)*Std(Y). How can I calculate Correlation coefficient in above case?
2) If I have a Matrix A=[2 0;0 9]; If I rotate this matrix between 0 to 360, I get a maximum correlation of -0.6365 to 0.6365. How can I achieve maximum correlation of 1 or 0.9 for this matrix using rotation?
Kindly help me out. Any suggestions and comments?