Random vector with nonsingular covariance matrix

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Reference no: EM131059843

Following Theorem 6.6 prove that the reciprocal proportionality model (Section 6.4.1) is invariant with respect to scaling of the observed random variables.

THEOREM 6.6

Let X he a random vector with nonsingular covariance matrix Σ. Then the weighted covariance matrix Σ* = Ψ^-1/2Σ Ψ^-1/2is invariant under a scale transformation of X.

Reference no: EM131059843

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