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Proof of a variance matrix.

by Kuma
Tags: matrix, proof, variance
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Kuma
#1
Mar5-12, 07:06 PM
P: 134
Hi there. I want to show that this is a variance matrix:



I think I can do this by showing that it is positive definite as all variance matricies follow that property. But I'm not sure how to go about showing that?

I'm also confused a bit about the values in the matrix itself.
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