# How to compute the covariance of a linear equation

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?

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