## Inverse Correlation Matrix

For a symmetric correlation matrix, the **Inverse Correlation Matrix**
table contains the inverse of the correlation
matrix, as shown in Figure 40.14.
The diagonal elements of the inverse correlation matrix,
sometimes referred to as *variance inflation factors*,
measure the extent to which the variables are
linear combinations of other variables.
The *j*th diagonal element
of the inverse correlation matrix is
1/(1 - R^{2}_{j}), where R^{2}_{j} is the
squared multiple correlation of the *j*th
variable with the other variables.
Large diagonal elements indicate
that variables are highly correlated.

When a correlation matrix is singular (less than full rank),
some variables are linear functions of other variables,
and a g2 inverse for the matrix is displayed.
The g2 inverse depends on the order in
which you select the variables.
A value of 0 in the *j*th diagonal
indicates that the *j*th variable is
a linear function of the previous variables.

**Figure 40.14:** P-values of Correlations and Inverse Correlation Matrix

Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.