Using Problem 3 above, show that for a p by p covariance matrix S, and a fixed vector u E R, the quadratic form

Elementary Linear Algebra (MindTap Course List)
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Chapter7: Eigenvalues And Eigenvectors
Section7.CM: Cumulative Review
Problem 25CM: Find a basis B for R3 such that the matrix for the linear transformation T:R3R3,...
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Using Problem 3 above, show that for a p by p covariance matrix S, and a fixed vector a e R", the
quadratic form
(r- )-)
is positive semidefinite.
Transcribed Image Text:Using Problem 3 above, show that for a p by p covariance matrix S, and a fixed vector a e R", the quadratic form (r- )-) is positive semidefinite.
Prove that a general p by p sample covariance matrix S is positive semidefinite. Hint: Make use of the
fact that
S-x"x
n-1
to show that
"Sr 20
for every r e R".
Transcribed Image Text:Prove that a general p by p sample covariance matrix S is positive semidefinite. Hint: Make use of the fact that S-x"x n-1 to show that "Sr 20 for every r e R".
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