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Linear transformations and Gaussian random vectors. We fix a positive integer n.
 

Summary: Linear transformations and Gaussian random vectors.
We fix a positive integer n.
1. Symmetric matrices; psd matrices.
When we write x Rn
we mean that
x =



x1
...
xn


.
Let
Sym(n)
be the vector space of n by n symmetric matrices. We say the n by n matrix B is
positive definite symmetric (psd) if B is symmetric and
(1) xT

  

Source: Allard, William K. - Department of Mathematics, Duke University

 

Collections: Mathematics