The covariance-variance matrix of a set of observations, Exx, is a symmetric matrix. The covariance matrix of functions of these observations should also be symmetric as the two covariance matrices are related by the equation Eyy= JEXXJT. Using laws on matrix transposition, prove that, indeed, Eyy is symmetric by showing that the product JEXXJT is symmetric, i.e., the original product and its transpose are equal. You need to list the transposition law concerned, or a property of a matrix, at every step of the proof.
The covariance-variance matrix of a set of observations, Exx, is a symmetric matrix. The covariance matrix of functions of these observations should also be symmetric as the two covariance matrices are related by the equation Eyy= JEXXJT. Using laws on matrix transposition, prove that, indeed, Eyy is symmetric by showing that the product JEXXJT is symmetric, i.e., the original product and its transpose are equal. You need to list the transposition law concerned, or a property of a matrix, at every step of the proof.
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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