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At the lecture yesterday the teacher just ended up with a result I could not arrive at. So, how

can the below stated expression be verified?

[tex]\left(C^{1/2}\right)^{T}C^{-1}C^{1/2}=I[/tex]

Here C is a nonsingular covariance matrix, obviously, and I is the unit matrix.

I will not make an attempt of a solution because then it feels like I would solve it but not understand. I hope that is ok. What I seek here is not an rigorous proof. I just want to understand.

Hope someone can help me!

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# Homework Help: How can this be equal to the unit matrix?

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