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setting up eigenvalue (again)

JBlackhole
16-Pearl

setting up eigenvalue (again)

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

1 ACCEPTED SOLUTION

Accepted Solutions

Hi,

See file.

The error is U is undefined.

Here is solution.

Capture.PNG

Cheers

Terry

View solution in original post

2 REPLIES 2

Hi,

See file.

The error is U is undefined.

Here is solution.

Capture.PNG

Cheers

Terry

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

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