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I'd like to derive the covariance matrix that defines a given ellipse.

Information I have:

  1. length of major axis $\lambda_1$
  2. length of minor axis $\lambda_2$
  3. angle of rotation of the ellipse is $\theta$ degrees
  4. determinant of the desired covariance matrix is $ = 1$

Given the four sets of the information above, is there a way to go backward and derive the covariance matrix that defines the ellipse?

Thank you in advance!

CJR
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    All the information you might need (and more) is given in my analysis of ellipses at https://stats.stackexchange.com/a/71303/919. – whuber Mar 09 '22 at 01:25

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