Covariance Matrix Diagonalization Example 01

3,426 views · Published 4 September 2014 · 8:24 · Indexed 30 September 2026

Channel: Adam Panagos · 2014 · Education

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We are given a random vector X and it's covariance matrix Kxx.  We form a new random vector Y = CX.  We determine the matrix C such that the covariance matrix Kyy is an identity matrix (i.e. Kyy = I).  Simple algebraic manipulations are used to solve for C.

The next video works the same problem, but the singular value decomposition (i.e. eigenvalue/eigenvector decomposition) is used to find the matrix C.

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