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Results tagged with matrix
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user 12895
A matrix (plural matrices) is a rectangular array of numbers, symbols, or expressions arranged in rows and columns. The individual items in a matrix are called its elements or entries.
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Is every covariance matrix positive definite?
Well, to understand why the covariance matrix of a population is always positive semi-definite, notice that:
$$
\sum_{i,j =1}^{n} y_i \cdot y_j \cdot Cov(X_i, X_j) = Var(\sum_{i=1}^n y_iX_i) \geq 0
$$ … This also explains why in the example given by Glen_b the covariance matrix was not positive definite . …
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