This video considers the properties of valid correlation matrix, including the Hermitian property, positive semi-definiteness, and positive real-valued leading diagonal. This video proves these results, and shows how to test for positive semi-definiteness. The video then continues with a few examples, testing whether several matrices are valid correlation matrices or not.
PGEE11164 Probability, Estimation Theory, and Random Signals Lectures -- School of Engineering, University of Edinburgh. Copyright James R. Hopgood and University of Edinburgh, Scotland, United Kingdom (UK). 2020.
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