The Frobenius norm AF of a matrix is the square root of the sum of the squares of the elements. Show that A2 F = tr(AT A). Suppose the joint covariance matrix of x and y (both p = q = 3) is given by...

The Frobenius norm AF of a matrix is the square root of the sum of the squares of the elements. Show that A2 F = tr(AT A).

Suppose the joint covariance matrix of x and y (both p = q = 3) is given by the matrix in Exercise 6.4. Find the canonical correlations.