Take any orthogonal matrix R and construct
covariance = R*diag(eigenvalues)*R'
Question
I am having some difficulties resolving this: Given eigen values for a matrix in n dimension how one can generate a corresponding covariance matrix which result in having those eigen values.
Any advice is much appreciated.
Ali
Solution
Take any orthogonal matrix R and construct
covariance = R*diag(eigenvalues)*R'