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Linear Models -- Spring 2023 -- Lecture 5
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4/18/23
Properties of covariance matrix
Covariance is a bilinear operator
Covariance matrix under linear transformation
Covariance matrix is positive semi-definite
Whitening
Properties of covariance matrix
Covariance is a bilinear operator
Covariance matrix under linear transformation
Covariance matrix is positive semi-definite
Whitening