Linear Algebra: Matrices, Eigenvalues, Diagonalization of Matrices:
We will need several tools from linear algebra to work with vectors of random variables. Unfortunately, I cannot take the time to teach about these tools during EEL 5544. However, there are many good resources available for free on the web to learn more about linear algebra.
- For a free textbook that is easy to look at to learn the basics,
try Elementary Linear Algebra by Keith Matthews.
- For video lectures,
Strang's MIT course 18.06 Linear Algebra. In particular,
you may want to review the lectures on "Eigenvalues and
Eigenvectors" and "Diagonalization and Powers of A". Gilbert
Strang is also the author of a textbook in this area,
Linear Algebra and its Applications.
- For a more challenging and more interesting textbook, try Linear Algebra by Jim Hefferon
- Please let me know if these references are useful to you, or if you find other good references on the web.