A command to query the selected SSCP object for the area of a confidence ellipse.

Algorithm

The algorithm proceeds as follows:

1. The four array elements in the SSCP-matrix that correspond to the chosen dimensions are copied into a two-dimensional matrix S (symmetric of course).

2. The eigenvalues of S are determined, call them s₁ and s₂.

3. The lengths l₁ and l₂ of the two axes of the ellipse can be obtained as (see for example Johnson (1998), page 410:

    where

    in which f = invFisherQ (1 – confidenceLevel, p, n – p), where p is the numberOfRows from the SSCP object and n the numberOfObservations.

4. The area of the ellipse will be π·l₁·l₂.

Links to this page

• Discriminant: Get confidence ellipse area...