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Given the equation: $V_k = M v_k - A M v_{k-1}$ with $ M = [C^T C]^{-1} C^T,$

where capital letters represent matrices. A paper that I am reading ( see equation (27) here) states that you can compute the covariance of $V_k$ when $C, A$ and $cov(v_k)$ is known.
I don't see how, though. Is the covariance linear?

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  • $\begingroup$ Write $ symbols to the left and right side of the LaTeX. $\endgroup$ – Peter Foreman Feb 9 at 21:28

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