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 anxnreal, symmetric variance-covariance matrix and is anxmmatrix

Let, and be the eigenvalues and respective eigenvectors and

where is anxmorthogonal matrix comprising of those eigenvectors and is amxmdiagonal matrix comprising of the corresponding eigenvalues

I'll denote each element of matrix by

Let be amx1vector of orthogonal processes

Then, prove that

Thanks,