Question: n Let X ,..., X be p-random variables with sample covariance matrix S = - > (x; -x)(x; -x)'. li=1 Consider the linear combinations Y=dix,t

n Let X ,..., X be p-random variables with sample covariance matrix S = - > (x; -x)(x; -x)'. li=1 Consider the linear combinations Y=dix,t ... ta X, = a X . . 1p = dpix, + ...+dpX = aX (a) What is the Var(Y, ) ? (b) Show that a, is an eigen vector of S corresponding to the second largest eigen values

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