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Rohan Jain EE635 Assignment September 28, 2016

The document is an assignment that includes three questions: 1) Prove that the covariance matrix S of a random vector X is positive-semidefinite. 2) Write down the eigenvalues for matrices C=A+B, D=A-B, E=AB, F=A^-1 B, and G given that A and B share eigenvectors. 3) Show that the matrix A and its transpose AT do not have the same eigenspaces.

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Rohan Jain
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38 views

Rohan Jain EE635 Assignment September 28, 2016

The document is an assignment that includes three questions: 1) Prove that the covariance matrix S of a random vector X is positive-semidefinite. 2) Write down the eigenvalues for matrices C=A+B, D=A-B, E=AB, F=A^-1 B, and G given that A and B share eigenvectors. 3) Show that the matrix A and its transpose AT do not have the same eigenspaces.

Uploaded by

Rohan Jain
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Rohan Jain

EE635 Assignment

September 28, 2016

1. Consider the covariance matrix S of a random vector X which is S = E[(X E[X])(X E[X])T ]
where E[X] is the expectation of X. Prove that S is positive-semidefinite
2. Let say A and B be Rnn matrices which have same set of eigenvectors u1 , u2 , un with corresponding
eigenvalues 1 , n for A and 1 , n for B. Write down the eigenvalues for the following matrices:
C = A + B, D = A B, E = AB, F = A1 B


A 0
G=
where 0 Rnn is the all-zero matrix
0 B


2 0
3. Let A =
. Show that A and AT do not have the same eigenspaces
2 3

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