Multivariate Normal Distribution: Correlation and Covariance

This lecture covers the concept of correlation matrix related to the covariance matrix, the calculation of the correlation matrix, and the properties of the correlation matrix. It also discusses the standard empirical estimates for mean and covariance, the accuracy of standard estimates, and the eigenvalues distribution. Additionally, it explores the normality testing, the Jarque-Bera statistic, and the QQ plot. The lecture concludes with discussions on multivariate normal distribution, normal variance mixtures, and factor models.