setting up eigenvalue (again)

[JBlackhole]

to all math experts,

I have started looking at a method involving PSD and co-variance matrices. I am trying to set-up an example in mathcad (15) out inf interest and struggling with an eigenvalue extraction. I think I need to "invert" the problem but don't know how. Attached mcad15 file and a pdf. see sheets 4 & 5

Some pointers on my ignorance would be welcome

As a side issue: I am correct in thinking that one cannot calculate the cross-spectra  PSD form 2 PSDs

Thanks

Regards

[terryhendicott · Accepted solution]

Hi,

See file.

The error is U is undefined.

Here is solution.

Cheers

Terry

[JBlackhole]

Thanks a lot. 1 problem sorted. Now to the next one....