Chunk #151 — Discussion — The Spectrum of the Covariance Matrix
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The vectors f [k] form an orthonormal basis for F. Write dk = f [k].C. Set E to be the diagonal matrix It is easy to calculate that the random variables dk have, conditional on P, covariance matrix R, where and D = diag(m(1),m(2),…m(K)). Here E corresponds to sampling noise.