矩阵代数与随机向量 MATRIX ALGEBRA and RANDOM VECTORS.pdfVIP

MATRIX ALGEBRA Def. A p-dimensional square matrix Q is orthogonal if t t t −1 QQ = Q Q = Ip or equivalently Q = Q This implies that the rows of Q have unit norms and are or- thogonal. The columns have the same property. Def. A p-dimensional square matrix A has an eigenvalue λ with corresponding eigenvector x = 0 if Ax = λx If the eigenvector x is normalized, which means that x = 1, then we will denote the normalized eigenvector by e. Result 1. A symmetric p-dimensional square matrix A has p pairs of eigenvalues and eigenvectors (λ , e ), . . . , (λ , e ). 1 1 p p t The eigenvectors can be chosen to be normalized (e1e1 = · · · = t t ep ep = 1) and orthogonal (e ej = 0 if i = j ). If all eigenvalues i are different, then the eigenvectors are unique. 2 Result 2. Spectral decomposition The spectral decompositon of a p-dimensional symmetric square matrix A is given by A = λ e et + · · · + λ e et 1 1 1 p p p where (λ , e ), . . . , (λ , e ) are the eigenvalue/normalized eigen- 1 1 p p vector pairs of A. Example Consider the symmetric matrix 13 −4 2    A = −4 13 −2 2 −2 10 From the characteristic equation |A −λI3 | = 0 we obtain the eigen- values λ