Timeline for Why cov(AX)=A cov(X) A'
Current License: CC BY-SA 3.0
12 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Aug 6, 2018 at 7:24 | comment | added | Brofessor | How are we able to pull out the $A$ and $A^T$? for the last step. | |
| Jul 8, 2014 at 16:38 | vote | accept | remo | ||
| Jul 8, 2014 at 15:49 | comment | added | PseudoRandom | I have substantially edited my answer. Tell me if it answers your question or if there is something more you would like to see. | |
| Jul 8, 2014 at 15:47 | history | edited | PseudoRandom | CC BY-SA 3.0 |
added 227 characters in body
|
| Jul 8, 2014 at 15:10 | history | edited | PseudoRandom | CC BY-SA 3.0 |
added 155 characters in body
|
| Jul 8, 2014 at 14:56 | history | edited | PseudoRandom | CC BY-SA 3.0 |
added 320 characters in body
|
| Jul 8, 2014 at 14:45 | comment | added | PseudoRandom | Ok, I got what you are saying. If $X$ is a matrix of random variables, you must beforehand use the "vec" operator and convert it into a column vector and adjust the model accordingly. After that, you can apply the theorem. The actual theorem is about the covariance of $Ax$ (a matrix and a column vector). If you want a formulation for $AX$, it could probably be derived, but using the "vec" operator is simpler. | |
| Jul 8, 2014 at 14:42 | comment | added | remo | I cannot find such a comment, By the way I added cov(X) to my question and I mean X is a matrix of variables not necessarily symmetric. If there is such a formulation for cov(AX)? (Please see X as a matrix and not a random variable) | |
| Jul 8, 2014 at 14:39 | history | edited | PseudoRandom | CC BY-SA 3.0 |
deleted 145 characters in body
|
| Jul 8, 2014 at 14:35 | comment | added | PseudoRandom | In your code, you were using "X" as a covariance matrix (look at the first comment). What I meant was: the covariance matrix must be symmetric. | |
| Jul 8, 2014 at 14:33 | comment | added | remo | Why X must be symmetric. I know cov(X) must be symmetric, but what about X, itself? | |
| Jul 8, 2014 at 14:23 | history | answered | PseudoRandom | CC BY-SA 3.0 |