Question: Show that one can always view the generalized Euclidean inner product $$x'Omega y$$ of two vectors x and y with a nonsingular variance matrix $$Omega$$
Show that one can always view the generalized Euclidean inner product $$x'\Omega y$$ of two vectors x and y with a nonsingular variance matrix $$\Omega$$ as the ordinary Euclidean inner product of a linear transformation of the vectors.
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