Following theorem 66 prove that the reciprocal, Ask an Expert

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Following Theorem 6.6 prove that the reciprocal proportionality model (Section 6.4.1) is invariant with respect to scaling of the observed random variables.

THEOREM 6.6

Let X he a random vector with nonsingular covariance matrix Σ. Then the weighted covariance matrix Σ* = Ψ^-1/2Σ Ψ^-1/2is invariant under a scale transformation of X.

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