How can I prove this equation:
$${ ({ x }^{ T }\Sigma x) }^{ 1/2 }={ \left\| { \Sigma }^{ 1/2 }x \right\| }_{ 2 }$$
In which $\Sigma $ is a covariance matrix. I tried some numerical examples in MATLAB and it seems that this equation is true.
2026-05-04 20:04:30.1777925070
An equation related to covariance matrix, square root of the matrix, and Euclidean norm.
374 Views Asked by Bumbble Comm https://math.techqa.club/user/bumbble-comm/detail At
1
There are 1 best solutions below
Related Questions in LINEAR-ALGEBRA
- An underdetermined system derived for rotated coordinate system
- How to prove the following equality with matrix norm?
- Alternate basis for a subspace of $\mathcal P_3(\mathbb R)$?
- Why the derivative of $T(\gamma(s))$ is $T$ if this composition is not a linear transformation?
- Why is necessary ask $F$ to be infinite in order to obtain: $ f(v)=0$ for all $ f\in V^* \implies v=0 $
- I don't understand this $\left(\left[T\right]^B_C\right)^{-1}=\left[T^{-1}\right]^C_B$
- Summation in subsets
- $C=AB-BA$. If $CA=AC$, then $C$ is not invertible.
- Basis of span in $R^4$
- Prove if A is regular skew symmetric, I+A is regular (with obstacles)
Related Questions in STATISTICS
- Given is $2$ dimensional random variable $(X,Y)$ with table. Determine the correlation between $X$ and $Y$
- Statistics based on empirical distribution
- Given $U,V \sim R(0,1)$. Determine covariance between $X = UV$ and $V$
- Fisher information of sufficient statistic
- Solving Equation with Euler's Number
- derive the expectation of exponential function $e^{-\left\Vert \mathbf{x} - V\mathbf{x}+\mathbf{a}\right\Vert^2}$ or its upper bound
- Determine the marginal distributions of $(T_1, T_2)$
- KL divergence between two multivariate Bernoulli distribution
- Given random variables $(T_1,T_2)$. Show that $T_1$ and $T_2$ are independent and exponentially distributed if..
- Probability of tossing marbles,covariance
Related Questions in NORMED-SPACES
- How to prove the following equality with matrix norm?
- Closure and Subsets of Normed Vector Spaces
- Exercise 1.105 of Megginson's "An Introduction to Banach Space Theory"
- derive the expectation of exponential function $e^{-\left\Vert \mathbf{x} - V\mathbf{x}+\mathbf{a}\right\Vert^2}$ or its upper bound
- Minimum of the 2-norm
- Show that $\Phi$ is a contraction with a maximum norm.
- Understanding the essential range
- Mean value theorem for functions from $\mathbb R^n \to \mathbb R^n$
- Metric on a linear space is induced by norm if and only if the metric is homogeneous and translation invariant
- Gradient of integral of vector norm
Related Questions in CONVEX-OPTIMIZATION
- Optimization - If the sum of objective functions are similar, will sum of argmax's be similar
- Least Absolute Deviation (LAD) Line Fitting / Regression
- Check if $\phi$ is convex
- Transform LMI problem into different SDP form
- Can a linear matrix inequality constraint transform to second-order cone constraint(s)?
- Optimality conditions - necessary vs sufficient
- Minimization of a convex quadratic form
- Prove that the objective function of K-means is non convex
- How to solve a linear program without any given data?
- Distance between a point $x \in \mathbb R^2$ and $x_1^2+x_2^2 \le 4$
Trending Questions
- Induction on the number of equations
- How to convince a math teacher of this simple and obvious fact?
- Find $E[XY|Y+Z=1 ]$
- Refuting the Anti-Cantor Cranks
- What are imaginary numbers?
- Determine the adjoint of $\tilde Q(x)$ for $\tilde Q(x)u:=(Qu)(x)$ where $Q:U→L^2(Ω,ℝ^d$ is a Hilbert-Schmidt operator and $U$ is a Hilbert space
- Why does this innovative method of subtraction from a third grader always work?
- How do we know that the number $1$ is not equal to the number $-1$?
- What are the Implications of having VΩ as a model for a theory?
- Defining a Galois Field based on primitive element versus polynomial?
- Can't find the relationship between two columns of numbers. Please Help
- Is computer science a branch of mathematics?
- Is there a bijection of $\mathbb{R}^n$ with itself such that the forward map is connected but the inverse is not?
- Identification of a quadrilateral as a trapezoid, rectangle, or square
- Generator of inertia group in function field extension
Popular # Hahtags
second-order-logic
numerical-methods
puzzle
logic
probability
number-theory
winding-number
real-analysis
integration
calculus
complex-analysis
sequences-and-series
proof-writing
set-theory
functions
homotopy-theory
elementary-number-theory
ordinary-differential-equations
circles
derivatives
game-theory
definite-integrals
elementary-set-theory
limits
multivariable-calculus
geometry
algebraic-number-theory
proof-verification
partial-derivative
algebra-precalculus
Popular Questions
- What is the integral of 1/x?
- How many squares actually ARE in this picture? Is this a trick question with no right answer?
- Is a matrix multiplied with its transpose something special?
- What is the difference between independent and mutually exclusive events?
- Visually stunning math concepts which are easy to explain
- taylor series of $\ln(1+x)$?
- How to tell if a set of vectors spans a space?
- Calculus question taking derivative to find horizontal tangent line
- How to determine if a function is one-to-one?
- Determine if vectors are linearly independent
- What does it mean to have a determinant equal to zero?
- Is this Batman equation for real?
- How to find perpendicular vector to another vector?
- How to find mean and median from histogram
- How many sides does a circle have?
What kinds of operations are may we assume are permissible? I mean, to be perfectly honest, this seems evident, since$$\|\Sigma^{1/2} x\|_2=\sqrt{\|\Sigma^{1/2}x\|_2^2}=\sqrt{\langle\Sigma^{1/2}x,\Sigma^{1/2}x \rangle} =\sqrt{x^T\Sigma^{1/2}\Sigma^{1/2}x}=\sqrt{x^T\Sigma x}.$$ But of course, this assumes you accept the definition of a symmetric matrix square root, the definition of the Euclidean norm as the square root of the inner-product of the vector with itself, etc.