ELEMENTS OF MATRIX ALGEBRA CHUNG-MING KUAN Department of Finance National Taiwan University September 09, 2009 c Chung-Ming Kuan, 1996, 2001, 2009. E-mail:
[email protected]; URL: homepage.ntu.edu.tw/∼ckuan. CONTENTS i Contents 1 Vector 1 1.1 Vector Operations . 1 1.2 Euclidean Inner Product and Norm . 2 1.3 Unit Vector . 2 1.4 Direction Cosine . 3 1.5 Statistical Applications . 5 Exercises ...................................... 6 2 Vector Space 8 2.1 The Dimension of a Vector Space . 8 2.2 The Sum and Direct Sum of Vector Spaces . 10 2.3 Orthogonal Basis Vectors . 11 2.4 Orthogonal Projection . 12 2.5 Statistical Applications . 14 Exercises . 15 3 Matrix 16 3.1 Basic Matrix Types . 16 3.2 Matrix Operations . 17 3.3 Scalar Functions of Matrix Elements . 18 3.4 Matrix Rank . 20 3.5 Matrix Inversion . 21 3.6 Statistical Applications . 23 Exercises . 24 4 Linear Transformation 26 4.1 Change of Basis . 26 4.2 Systems of Linear Equations . 28 4.3 Linear Transformation . 29 Exercises . 32 5 Special Matrices 34 5.1 Symmetric Matrix . 34 5.2 Skew-Symmetric Matrix . 34 5.3 Quadratic Form and Definite Matrix . 35 5.4 Differentiation Involving Vectors and Matrices . 36 c Chung-Ming Kuan, 2001, 2009 CONTENTS ii 5.5 Idempotent and Nilpotent Matrices . 37 5.6 Orthogonal Matrix . 38 5.7 Projection Matrix . 39 5.8 Partitioned Matrix . 40 5.9 Statistical Applications . 41 Exercises . 41 6 Eigenvalue and Eigenvector 43 6.1 Eigenvalue and Eigenvector . 43 6.2 Diagonalization . 44 6.3 Orthogonal Diagonalization .