Timeline for Doubt about proof of positive semi-definite matrix implies covariance matrix
Current License: CC BY-SA 4.0
3 events
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| Sep 5, 2019 at 13:38 | comment | added | jld | @JuanCorredor that is correct, they just need to have a diagonal covariance matrix which means they're uncorrelated. They certainly could also be independent but it's not required. I chose to use a multivariate Gaussian so in this case they are both uncorrelated and independent but independence wasn't required | |
| Sep 5, 2019 at 13:37 | comment | added | Juan Corredor | So, the answer to my question is that $X_1,\ldots,X_r$ do not have to be independent?Thanks jld. | |
| Sep 5, 2019 at 13:33 | history | answered | jld | CC BY-SA 4.0 |