 Equicorrelation covariance matrix (source code)

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= Equicorrelation covariance matrix
{title2=$\Sigma=(1-r)I_p+r\mathbf1\mathbf1^T$}

This unit-variance <covariance matrix> has <eigenvalue> $1+(p-1)r$ on the constant-vector direction and <eigenvalue> $1-r$ on its orthogonal complement. It is positive semidefinite exactly when $-1/(p-1)\le r\le1$. For positive $r$, the first <population principal component> is the normalized sum of the centered variables.

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