Signal Processing, Spectral Analysis, Ante, Linear Algebra, Eigenvectors.
[13]. Using the standard eigendecomposition of our data covariance matrix Rₓ [13]: Rₓ = vλᵢIv* (Equation 27a) Rₓ vᵢ= λᵢIvᵢ* (Equation 27b) with (26) we have: Equation 28 But because A is full rank and P is positive definite, is nonnegative definite, so equation (28) is satisfied only with λ=λₘin,