Matrix transformation conserving the "positive semi-definite" aspect Let's say I have

Celia Lucas

Celia Lucas

Answered question

2022-06-23

Matrix transformation conserving the "positive semi-definite" aspect
Let's say I have two covariance matrices A and B (so they're both positive semi-definite), What kind of transformations can I apply on either one of them or both without loosing the positive-definite aspect in the resuling matrix ?

Answer & Explanation

seraphinod

seraphinod

Beginner2022-06-24Added 22 answers

if B is non singular square matrix you can do this:
g ( A , B ) = B 1 A B the result of this function is positive semi-definite if A was.
if A and B are positive semi-definite than you can build a block matrix D = [ A 0 0 B ] which is also positive semi-definite

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