Verify the following properties of partitioned matrices. Given a symmetric p.d. matrix A is partitioned in the
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Verify the following properties of partitioned matrices. Given a symmetric p.d. matrix A is partitioned in the form A = A11 A12 A21 A22 , where A11 and A22 are square matrices, both A11 and A22 are p.d. and the inverse of A is given by A−1 = A11 + A−1 11 A12B−1A21A−1 11 −A−1 11 A12B−1 −BA21A−1 11 B−1 , with B = A22 − A21A−1 11 A12. Besides, by straightforward algebra, one can verify that (x 1 x 2 ) A−1 x1 x2 = x 1A−1 11 x1 + b B−1b, where b = x2 − A21A−1 11 x1.
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Linear Regression Analysis Theory And Computing
ISBN: 9789812834102
1st Edition
Authors: Xin Yan, Xiao Gang Su
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