Can I rebuild a NxN matrix if I know its Covariance Matrix? If so, how would I go upon it? is there a Matlab function to do so?
Can I rebuild a NxN matrix if I know its Covariance Matrix?
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linear-algebra
matrices
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0...some background would be helpful. – 2011-05-09
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0Are you asking "If I have N series with N data points in each, is there a 1-1 mapping between the data and the covariance matrix"? – 2011-05-09
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0There is no such a thing as the "covariance matrix of a matrix", AFAIK. The covariance matrix is the covariance of a (random) vector. – 2011-05-09
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0See also http://math.stackexchange.com/questions/2543/square-root-of-symmetric-matrix-and-transposition – 2011-05-09