Hi,
I'm reading a financial paper and my mind's drawing a blank on this following issue. Could you try help (please apologize my notation, I'm a Latex first-timer):
Say, where is a nxn real, symmetric variance-covariance matrix and is a nxm matrix
Let, and be the eigenvalues and respective eigenvectors and
where is a nxm orthogonal matrix comprising of those eigenvectors and is a mxm diagonal matrix comprising of the corresponding eigenvalues
I'll denote each element of matrix by
Let be a mx1 vector of orthogonal processes
Then, prove that
Thanks,