For a Multivariate Gaussian Distribution The formula of Multivariate Normal Distribution The geometric properties

I am a bit confused about the derivation of sigma Derivation of sigma

The deduction of sigma from Christopher Bishop's book- Pattern recognition and machine learning

I am confused that I still cannot get the details of the derivation of sigma.

Could anyone help me with the process from having known $\Sigma u_i=\lambda_i u_i$ and $u_i $is orthonormal, to the result of $\Sigma=\sum^D_i \lambda_i u_i u_i^T$?


From $\Sigma u_i = \lambda_i u_i$, we can get by multiply $u_i^T$ on the right sides $$ \Sigma u_i u_i^T = \lambda_i u_iu_i^T, \quad i=1, \ldots, D. $$ Now, let us sum up $D$ equations above, which leads to $$\Sigma \sum_i u_i u_i^T = \sum_i \lambda_i u_iu_i^T.$$ Let $U=[u_1, \ldots, u_D]$, a column-binded matrix from $\{u_i\}_{i=1}^D$. If $u_i$'s are orthonormal (i.e. $\sum_i u_i u_i^T=U U^T = I$), we now conclude $$\sum_i \lambda_i u_iu_i^T = \Sigma \sum_i u_i u_i^T=\Sigma.$$

As whuber suggested, the eigenvectors should satisfy orthonormality, not just orthogonality. OP would be better to check this condition.

Hope this helps.

  • $\begingroup$ +1 -- but your argument is a little incomplete. Orthonormality of the $u_i$ does not (in itself) imply $UU^\prime = I:$ you also need that there are $D$ of the $u_i.$ I realize this is implicit in your argument, but making it explicit may assist the reader in understanding the key ideas. $\endgroup$
    – whuber
    Jan 31 '20 at 23:23
  • $\begingroup$ @whuber Agreed. I made an edit based on your suggestion. Thanks! $\endgroup$
    – inmybrain
    Feb 1 '20 at 3:23
  • $\begingroup$ @inmybrain Thank you for your prompt and useful answer. I think ui(i=1,...,D) is the elements of the vector U. Thus, the transpose of ui is equal to ui,because ui itself is a scalor not a vector. Could you please tell me whether my thoughts is correct? U is the mean so it is a D*1 vector, and vector x as observation, is also a D*1 vector, the sigma covariance matrix is a D*D matrix, is that right? $\endgroup$
    – Cici Yang
    Feb 1 '20 at 15:05
  • $\begingroup$ @CiciYang I'm afraid to say it is not. $u_i$ is a $D$-dimensional vector, as $x$ is. $\Sigma$ is a $D \times D$ matrix. $\endgroup$
    – inmybrain
    Feb 1 '20 at 23:20
  • $\begingroup$ @@inmybrain Can you please explain why (sum uiui(transpose)=UU(transpose)? While using matrix multiplication I can get UU(transpose)=I, I still can not get why sum uiui(transpose)=UU(transpose) exists. I assume that U is a D*D matrix with D column and observations. Is that right? Is there an intuitive way to explain why the sum of the uiui(T)=UU(T)? Thank you. $\endgroup$
    – Cici Yang
    Feb 2 '20 at 6:14

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