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# Matrix Algebra Review

Definition. An m*n matrix, Am*n, is a rectangular array of real numbers with m rows and n
columns. Element in the ith row and the jth column is denoted by aij . Definition. A vector a of length n is an n*1 matrix with each element denoted by ai. The ith
element is called the ith component of the vector and n is the dimensionality. Matrix Operations

1. Two matrices A and B of the same dimensions can be added. The sum A + B has (i, j) entry
aij + bij . So  2. A matrix may also be multiplied by a constant c. The product cA is the matrix that results
from multiplying each element of A by c. Thus 3. The transpose operation A T or A' of a matrix changes the columns into rows so that the first
column of A becomes the first row of AT , the second column becomes second row, and etc.
So the (i,j)th element in Am*n becomes the (j,i)th in the transpose  4. We can define matrix multiplication A B if the number of elements in a row of A is the same
as the number of elements in the columns of B. E.g. when A is (p*k) and B is (k*n). An
element of the new matrix AB is formed by taking the inner product of each row of A with
each column of B. The matrix product AB is Special Square Matrix

1. A square matrix A is said to be symmetric if A = AT or aij= aji for all i and j. is symmetric, is not symmetric

2. Diagonal Matrix. 3. Identity Matrix. The identity matrix is a square matrix with ones on the diagonal and zeros elsewhere . It
follows from the definition of matrix multiplication that the (i, j) enrty of AI is  . So AI = A . Similarly, IA = A .
Therefore matrix I acts like 1 in ordinary multiplication.

The fundamental scalar relation about the existence of an inverse number a-1 such that , has the following matrix algebra extension . then B is called the inverse of A and is denoted by A-1.

Other Matrix Properties

1. Trace. The sum of the diagonal elements, 2. A square matrix that does not have a matrix inverse is called a singular matrix
The inverse of a 2*2 matrix is given by 3. A matrix is singular if and only if its determinant is 0. The determinant of a matrix A is
denoted as |A| The determinant of a 2*2 matrix is given by Examples 1. Simultaneous equations We can rewrite the above three equations as a single matrix equation. Example 2. Variance/Covariance Matrix

For a vector of random variables , , we can write a matrix containing their variances
and their covariances. Let be the variance of Yi and let covij be the covariance between Yi and
Yj , i < j. Then the variance/covariance matrix for is Also note that the above can be written as where is the correlation of Yi and Yj . Note that all of these matrices are symmetric. Furthermore,
the terms on the diagonal of the variance/covariance matrix must be positive and terms off
the diagonal of the correlation matrix are bounded by -1 and 1.

Example 3. Multiple Linear Regression

We have a response Y and a set of p independnet variables X 1,X2, . . . ,Xp. Assume we have n
observations and for each i = 1, . . . , n observation, we assume where Normal (0, ).

We can represent n observations simultaneously in matrix form as The residual can be written as The residual sum of squares (RSS) is Minimizing the above RSS gives the usual least -squared estimate for β Prev Next