Singular covariance matrix identity
I think it should be $\alpha^T \Sigma \alpha = 0$ (the dimensions for forming $Z \alpha$ are wrong). If that's the case then any $\alpha$ in the null-space of the singular matrix $\Sigma$ would do.
I think it should be $\alpha^T \Sigma \alpha = 0$ (the dimensions for forming $Z \alpha$ are wrong). If that's the case then any $\alpha$ in the null-space of the singular matrix $\Sigma$ would do.