The Research of Covariance Matrix by the Nature of Bilinear Function

Covariance is a symmetric bilinear function on random variable inner product space,therefore we applied the methods and results of bilinear functions to the covariance matrix.

Groups Preserving a Class of Bilinear Functions

Given a finite dimensional Euclidean vector space V, ( , ) and an involution τ of V, one can form the bilinear function ( , )τ defined by (x, y)τ = (τ(x), y), x,y ∊ V.Let O(τ) = {ϕ ∊ GL(V)|(ϕx, ϕy)τ = (x, y)τ}.If t is self-adjoint the structure of O(t) is well known. The purpose of this paper is to detemine the structure of O(t) in the general case. This structure is also determined in the complex and quaternionic case, as well as the case when the condition on t is replaced by τ2 = ∊ι, ∊ ∈ ℝ.