Covariance matrix singularity

Elena

New Member
#1
Hello,

Could anyone explain, why the matrix of covariance becomes singular when the the number of parameters P is less then the number of samples N?

Thank you in advance,
Elena
 

Elena

New Member
#3
I meant that we have a set of variables X1,... Xp and n samples for each variable. Then it says that when p>>n the covariance matrix will be singular. Why?