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Yes, setup application details can be updated later on by going back to application configuration page from side menu and selecting the required module name from drop-down.
In edit setup application what will happen if I change the entity name of the application?
By updating the entity name of the application, the dropdown options in the entity name tab will be updated and you will be able to see and use the updated entity name for model updates and running workloads. Also the datalake folder name for that entity will be updated.
What will happen if I change the relationship between entities?
By changing the relationship between entities, the library created for the application gets updated and need to follow the updated parent child relation while processing the data as well as adding nesting properties.
What will happen if I delete the entity?
Once an entity is deleted all the data processed for that entity gets lost. You will not get that entity name in the entity dropdown list.