Given eigen values for a matrix in n dimension how one can generate a corresponding covariance matrix which result in having those eigen values

I am having some difficulties resolving this: Given eigen values for a matrix in n dimension how one can generate a corresponding covariance matrix which result in having those eigen values.

Any advice is much appreciated.

Ali

Answers


Take any orthogonal matrix R and construct

covariance = R*diag(eigenvalues)*R'

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