Proof of a variance matrix.

  1. Hi there. I want to show that this is a variance matrix:

    [​IMG]

    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.
     
  2. jcsd
Know someone interested in this topic? Share a link to this question via email, Google+, Twitter, or Facebook