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发帖数: 558 | 1 X is an n-dimensional random vector with expected value u_X and
covariance C_X.
Let Y = AX, where A is an nxn orthogonal matrix (det(A) is either 1 or
-1). We know that the covariance of Y, denotes as C_Y is given by
C_Y = A C_X A'.
I was wondering whether the eigenvalues and eigenvectors of C_X is the
same as those of C_Y.
What if Y = AX + b, where b is an n-dimensional constant vector?
Thanks a lot!!! |
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