Rohan Jain

EE635 Assignment

September 28, 2016

1. Consider the covariance matrix S of a random vector X which is S = E[(X E[X])(X E[X])T ]
where E[X] is the expectation of X. Prove that S is positive-semidefinite
2. Let say A and B be Rnn matrices which have same set of eigenvectors u1 , u2 , un with corresponding
eigenvalues 1 , n for A and 1 , n for B. Write down the eigenvalues for the following matrices:
C = A + B, D = A B, E = AB, F = A1 B


A 0
G=
where 0 Rnn is the all-zero matrix
0 B


2 0
3. Let A =
. Show that A and AT do not have the same eigenspaces
2 3