By assumptions (i)-(ii), Z X is qp of rank p, and Z Z is qq of rank

Question:

By assumptions (i)-(ii), Z

X is q×p of rank p, and Z

Z is q×q of rank q. Show that:

(a) Z

Z is positive definite and invertible; the inverse has a square root.

(b) X

Z(Z

Z)−1Z

X is positive definite, hence invertible. Hint. Suppose c is p×1. Can c

X

Z(Z

Z)−1Z

Xc ≤ 0?

Note. Without assumptions (i)-(ii), equations (10) and (13) wouldn’t make sense.

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