Timeline for Proving positive definiteness of a covariance matrix
Current License: CC BY-SA 3.0
8 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 8, 2016 at 18:00 | vote | accept | Banach space fan | ||
| Jun 8, 2016 at 17:42 | comment | added | Banach space fan | @davik, Got it, makes sense. Thanks! | |
| Jun 8, 2016 at 17:38 | comment | added | davik | It makes no sense for z to be random, you are showing the matrix, which is just a regular matrix, is positive definite. | |
| Jun 8, 2016 at 17:33 | comment | added | Banach space fan | @davik, So in this conext, does the condition of definiteness require all nonzero, non-random vectors $z$? | |
| Jun 8, 2016 at 17:15 | answer | added | Robert Israel | timeline score: 4 | |
| Jun 8, 2016 at 17:12 | comment | added | davik | I'm fairly sure that 1) your z cannot depend on x since it is not a random vector and 2) your covariance can be singular but only if the distribution is trapped in a lower dimension, for example if the last entry of x is 0 with probability 1. But this is in a sense the only way for it to be singular | |
| Jun 8, 2016 at 17:04 | review | First posts | |||
| Jun 8, 2016 at 17:10 | |||||
| Jun 8, 2016 at 17:01 | history | asked | Banach space fan | CC BY-SA 3.0 |