[Math] Is every symmetric positive semi-definite matrix a covariance of some multivariate distribution

linear algebramatricesprobabilitystatistics

One can easily prove that every covariance matrix is positive semi-definite. I come across many claims that the converse is also true; that is,

Every symmetric positive semi-definite matrix is a covariance marix of some multivariate distribution.

Is it true? If it is, how can we prove it?

Best Answer

The answer is affirmative. Every positive semidefinite matrix $C$ can be orthogonally diagonalised as $QD^2Q^T$, where $Q$ is a real orthogonal matrix and $D$ is a nonnegative diagonal matrix. Let $\mathbf{Z}$ be a random vector following the standard multivariate normal distribution $N(0,I_n)$. It is straightforward to verify that $C$ is the covariance matrix of $\mathbf{X}=QD\mathbf{Z}$.