I was reading Turk and Pentland paper 'Eigenfaces for recognition' and they assert that, if M < N, the maximum rank of a covariance matrix is M - 1, being M the number of samples and NxN the size of the covariance matrix.(adsbygoogle = window.adsbygoogle || []).push({});

Is there any simple demonstration of this fact?

Thanks in advance,

Federico

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# Rank of sample covariance matrix

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