The question is self explanatory. I just wish to know the significance of this property of matrices. Thanks
What is the significance when the inverse covariance matrix = the identity matrix?
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statistics
matrices
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1... and it was in fact a correlation-matrix (all variables have variance 1)... – 2011-05-17
1 Answers
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When the inverse covariance matrix is the identity, then the covariance matrix is the identity, which means that the entries of the random vector in question are uncorrelated and have unit variance.