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**Copyright c 2012 Dan Nettleton (Iowa State University) Statistics 611 1 / 11
**

The trace of a square matrix

n×n

A = [a

ij

] is

trace(A) = tr(A) =

n

i=1

a

ii

.

For example,

tr

_

_

_

_

_

¸

¸

_

5 3 5

4 −1 2

−3 8 7

_

¸

¸

_

_

_

_

_

= 5 −1 + 7 = 11.

Copyright c 2012 Dan Nettleton (Iowa State University) Statistics 611 2 / 11

Some Simple Facts about Trace

Suppose k, k

1

, . . . , k

m

∈ R and A, A

1

, . . . , A

m

are each n ×n matrices.

Then

1

tr(A) = tr(A

)

2

tr(kA) = k · tr(A)

3

tr(A

1

+A

2

) = tr(A

1

) + tr(A

2

)

4

tr(

m

i=1

k

i

A

i

) =

m

i=1

k

i

· tr(A

i

)

Copyright c 2012 Dan Nettleton (Iowa State University) Statistics 611 3 / 11

Result A.17:

(a) tr(AB) = tr(BA). This is known as the cyclic property of the trace.

(b) If

m×n

A = [a

ij

], then

tr(A

A) =

m

i=1

n

j=1

a

2

ij

.

Proof of Result A.17: HW problem.

Copyright c 2012 Dan Nettleton (Iowa State University) Statistics 611 4 / 11

Suppose A is an m ×n matrix of rank r. Prove that there exist matrices

m×r

B and

r×n

C such that

A = BC and rank(B) = rank(C) = r.

Copyright c 2012 Dan Nettleton (Iowa State University) Statistics 611 5 / 11

Proof:

Let B = [b

1

, . . . , b

r

] where b

1

, . . . , b

r

form a basis for C(A).

Because b

1

, . . . , b

r

form a basis, they are LI so that rank(B) = r.

Let c

j

be the vector of the coefﬁcients of the linear combination of

b

1

, . . . , b

r

that gives the jth column of A.

Then A = BC, where C = [c

1

, . . . , c

n

].

Finally, note that

r = rank(A) = rank(BC) ≤ rank(C) ≤ r ⇒rank(C) = r.

Copyright c 2012 Dan Nettleton (Iowa State University) Statistics 611 6 / 11

Suppose A is an n ×n matrix such that AA = kA for some k ∈ R.

Prove that tr(A) = k · rank(A).

(Note that this result implies the trace of an idempotent matrix is equal

to its rank.)

Copyright c 2012 Dan Nettleton (Iowa State University) Statistics 611 7 / 11

Proof:

Let r = rank(A). Let

n×r

B and

r×n

C be matrices of rank r such that A = BC.

Then

BCBC = AA = kA = kBC = B(k

r×r

I )C.

Now B of full column rank implies CBC = k

r×r

I C, and

C of full row rank implies CB = k

r×r

I .

Thus,

tr(A) = tr(BC) = tr(CB) = tr(k

r×r

I ) = k · tr(

r×r

I ) = k · r = k · rank(A). 2

Copyright c 2012 Dan Nettleton (Iowa State University) Statistics 611 8 / 11

Prove that tr(I −P

X

) = n −rank(X).

Copyright c 2012 Dan Nettleton (Iowa State University) Statistics 611 9 / 11

Proof:

We know I −P

X

is idempotent. Thus, tr(I −P

X

) = rank(I −P

X

).

We know I −P

X

is the orthogonal projection matrix onto

C(X)

⊥

= N(X

).

Thus, C(I −P

X

) = N(X

**), which has dimension n −rank(X).
**

Thus, rank(I −P

X

) = n −rank(X).

Copyright c 2012 Dan Nettleton (Iowa State University) Statistics 611 10 / 11

Alternate Proof:

Because P

X

is idempotent, tr(P

X

) = rank(P

X

).

Now note that rank(P

X

) = rank(X) because

rank(P

X

) = rank(X(X

X)

−

X

) ≤ rank(X) = rank(P

X

X) ≤ rank(P

X

).

(This also follows from C(X) = C(P

X

).)

Thus, tr(I −P

X

) = tr(I) −tr(P

X

) = n −tr(P

X

) = n −rank(X).

Copyright c 2012 Dan Nettleton (Iowa State University) Statistics 611 11 / 11

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