Register to reply

Proof of a variance matrix.

by Kuma
Tags: matrix, proof, variance
Share this thread:
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.
Phys.Org News Partner Science news on Phys.org
Experts defend operational earthquake forecasting, counter critiques
EU urged to convert TV frequencies to mobile broadband
Sierra Nevada freshwater runoff could drop 26 percent by 2100

Register to reply

Related Discussions
Variance-covariance matrix and correlation matrix for estimated parameters Set Theory, Logic, Probability, Statistics 0
Matrix proof - augmented matrix - row reduction - column operation - proof Calculus & Beyond Homework 0
Matrix proof - augmented matrix - row reduction - column operation - proof Calculus & Beyond Homework 8
Determinant of the variance-covariance matrix Set Theory, Logic, Probability, Statistics 1
Variance-Covariance Matrix Calculus & Beyond Homework 3