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Nice to meet you everyone.
I’m an engineer of Korea, working on image object recognition.
Any help (especially about my English translation) would be welcomed.
pilhoon-at-gmail-dot-com

2014년 2월 28일 금요일

cov(AX+a)=Acov(X)AT

cov(X)=E[(XE(X))(XE(X))T]
so,
cov(AX)=E[(AXE(AX)(AXE(AX))T]=E[A(XE(X))(XE(X))TAT]=AE[(XE(X))(XE(X))T]AT=Acov(X)AT

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