Tell me more ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.
up vote 0 down vote favorite

The question is self explanatory. I just wish to know the significance of this property of matrices. Thanks

share|improve this question
5  
All your variables are uncorrelated. – J. M. May 17 '11 at 15:24
1  
... and it was in fact a correlation-matrix (all variables have variance 1)... – Gottfried Helms May 17 '11 at 15:41
@JM Thanks very much. – Dark Star1 May 17 '11 at 16:05

1 Answer

up vote 4 down vote accepted

When the inverse covariance matrix is the identity, then the covariance matrix is the identity, which means that the entries of the random vector in question are uncorrelated and have unit variance.

share|improve this answer

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.