Given eigen values for a matrix in n dimension how one can generate a corresponding covariance matrix which result in having those eigen values

Question

I am having some difficulties resolving this: Given eigen values for a matrix in n dimension how one can generate a corresponding covariance matrix which result in having those eigen values.

Any advice is much appreciated.

Ali

score 1 · Accepted Answer · answered Feb 02 '14 at 12:44

1

Take any orthogonal matrix R and construct

covariance = R*diag(eigenvalues)*R'

answered Feb 02 '14 at 12:44

Matt J

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R= gallery('orthog',n,k) – user1372020 Feb 02 '14 at 13:23

Given eigen values for a matrix in n dimension how one can generate a corresponding covariance matrix which result in having those eigen values

1 Answers1