How can I generate a matrix M such that cov(M) = I (identity). I use matlab to generate M.
How can I generate a matrix M such that cov(M) = I (identity). I
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How can I generate a matrix M such that cov(M) = I (identity). I use matlab to generate M.
If
Mis made up of columnsm1,m2,...mN, andx1=(m1-mean(m1))/sqrt(N-1)thencov(M)=X'*XThis means
cov(M)=IiffXis an orthonormal matrix. You can use this fact to designXand then work your way back to anM