Is an orthonormal set?
I'm working on a problem that involves multiplying the inverse of a spectral matrix by a matrix containing a subset of that matrices spectral components. Specifically:
How can I determine
S is a covariance matrix.
is the ith eigenvalue.
is the ith eigenvector.
Also, can the inverse of a specral matrix be writen in terms of the inverse of each spectral component somehow?
Thank you