Question: (Matrix Square Root) Let = CC' be a factorization of the nonsingular variance matrix . One example is the Cholesky decomposition (Lemma 7.6, p.

(Matrix Square Root) Let Ω = CC' be a factorization of the nonsingular variance matrix Ω. One example is the Cholesky decomposition (Lemma 7.6, p. 140). Show that C is not unique by constructing another distinct matrix square root for Ω from C. (HINT: Consider orthogonal matrices.)

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