Is there known relationship between eigenvalues of covariance matrix and correlation matrix?

2 次查看（过去 30 天）
Khanh
Khanh 2011-11-16
I've tried to google but didn't find anything talking about it. My intention is that if I have found the eigenvalues of the covariance matrix and need to make some transformation so that the covariance matrix become the correlation matrix and I don't want to recalculate the eigenvalues; is there anyway to know the eigenvalues of the correlation matrix from the eigenvalues I have known?
Thanks,

请先登录，再回答此问题。

回答（1 个）

Andrew Newell
Andrew Newell 2011-11-17
The documentation for corrcoef describes the relationship between the matrices. That might imply a relationship between eigenvalues; I'll see if I can come up with it.

类别

在 Help Center 和 File Exchange 中查找有关 Linear Algebra 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by