qAny
symmetric matrix R can be
decomposed in the following way through a diagonalization, or
eigenanalysis:
q
q
qWhere E is the
matrix with the eigenvectors ei as its columns, and L is the
matrix with the eigenvalues li,
along its diagonal and zeros elsewhere.
qThe
set of eigenvectors, ei, and
associated eigenvalues, li,
represent a coordinate transformation into a coordinate
space where the matrix R becomes
diagonal.