For a general belief adjustment we can construct a series of linear combinations, or canonical directions, with the properties that the first canonical direction is the linear combination of 's with the largest possible resolution; the second canonical direction is the linear combination with the largest resolution amongst those combinations which are uncorrelated with the first direction; and so forth. We take each canonical direction to have prior expectation zero and prior variance unity by convention. Our term for this collection of canonical directions is belief grid, as they comprise a multidimensional grid of directions over which the implications of the adjustment for the belief structure may be summarised as follows.
Each quantity in can be written as a linear combination of the canonical directions, and the resolution of each such quantity can be decomposed into a weighted sum of the resolutions for the canonical directions. The weights correspond to the strength of (squared) correlation between the quantity and the canonical directions. In this way, we expect to learn most about those quantities that are strongly correlated with the first few canonical directions; and least about those quantities that are weakly correlated with the first few canonical directions, and strongly correlated with the last few directions.
The belief grid for our simple example consists of the following two canonical directions:
or, in standardised form,
with approximate resolutions
Thus, the linear combination of quantities in about which we expect to learn most is , and we expect to remove about 32% of our uncertainty in this direction. Any other linear combination of elements in which is highly correlated with will likewise have a similar variance reduction.
There is only one direction in which is orthogonal to : we expect to learn least about . A resolution of only about 2% suggests that we learn almost nothing about both and linear combinations highly correlated with .
Thus, for the purpose of learning about and , the information contained in is essentially one-dimensional: we reduce uncertainty only in the direction of . Examination of the standardised form of the first canonical direction above shows that is the major component, whereas is the major component of . Hence, we are learning mostly in the direction of , and learning very little in the direction of .