Notes on Matrix Deniteness

Denition 1:
An n n matrix A is positive semi-denite (p.s.d.) if for any non-zero n
Denition 21 :
An n n matrix A is positive denite (p.d.) if for any non-zero n
Result 1:
For any n k matrix X; X 0 X is positive semi-denite.
(Proof)
Assume that
2
3
t1
6 t2 7
6
7
t = 6 . 7 6= 0k
4 .. 5

1 column vector t; we have t0 At

1 column vector t; we have t0 At > 0

tk

Then,

t0 X 0 Xt = (Xt) Xt
= s0 s
n
P
=
s2i 0;
i=1

where I dened that

s
|{z}
n 1

Result 2:
If A is a positive semi-denite k
(Proof)
Assume that

6
6
6
4

s1
s2
..
.

7
7
7
5

sn

X |{z}
t :
|{z}
n k k 1

k matrix, then A0 is positive semi-denite.

2

6
6
t=6
4

Since A is positive semi-denite, we have

0
0

t1
t2
..
.
tk

7
7
7 6= 0k
5

t0 At = (t0 A0 t) :

However, since (t0 A0 t) is scalar, i.e. (t0 A0 t) = (t0 A0 t) : Then, we have

0

(t0 A0 t)

and A0 is positive semi-denite.

1 In

econometrics, p.s.d. matrices appear more frequently than p.d. matrices. So, I mainly discuss p.s.d. matrices on this note..

Result 3:
Any k k variance-covariance matrix of column random vector X is positive semi-denite.
(Proof)
Since is the variance of column random vector X; by the denition of variance,
V arX [X] = EX (X
I dened X EX [X] ; for simplicity of notation
Also, assume that
2

t0 t

t1
t2
..
.

6
6
t=6
4

Then,

EX [X]) (X

7
7
7 6= 0k
5

tk

= t0 V arX [X] t
= t0 EX (X
= EX t (X
h
= EX (X

1:

X ) (X
0
0
X) t

= EX s2

0
X)
0
X)

X ) (X

EX [X]) :

(X

t
t
0
X)

0;

where I dened that

s
|{z}

(X
| {z

1 1

1 k

0
t :
X ) |{z}

k 1

Result 4:
Any n n idempotent and symmetric matrices are positive semi-denite.
(Proof)
Assume that
2
3
t1
6 t2 7
6
7
t = 6 . 7 6= 0n 1 :
4 .. 5
tn
Also, assume that X is arbitrary n

n idempotent and symmetric matrix. Then,

t0 Xt = t0 XXt (Since X is idempotent)

= t0 X 0 Xt (Since X is symmetric)
0
= (Xt) Xt
n
P
= s0 s =
s2i 0;
i=1

where I dened that

s
|{z}
n 1

2
6
6
6
4

s1
s2
..
.
sn

3
7
7
7
5

X |{z}
t :
|{z}
n nn 1

As special cases of this result, the identity matrix In and the projection matrix PX = X (X 0 X) X 0 and the annihilator
matrix MX = In PX = In X (X 0 X) X 0 in the linear regression model are positive semi-denite.
Result 5:
2

If A is a k k positive semi-denite and non-singular matrix. Then A

(Proof)
Assume that
2
3
t1
6 t2 7
6
7
t = 6 . 7 6= 0k 1 :
4 .. 5
tk
Since A is k

is positive semi-denite.

k positive semi-denite, we know that A0 is also positive semi-denite by Result 2. Then,

0

s0 A0 s = s0 A0 |A {z1 A}s
created

(As) A

(AS) :

Now, dene that

t
t
|{z}

As
A |{z}
s :
|{z}

k 1

Then, we have

k k k 1

t0 A

t:

Result 6:
If A is k k positive semi-denite matrix and B is any k n matrix. Then B 0 AB is positive semi-denite.
(Proof)
Assume that
2
3
s1
6 s2 7
6
7
s = 6 . 7 6= 0n 1
4 .. 5
sn

Then, we have

s0 B 0 ABs = (Bs) ABs

= t0 At 0, (Since A is positive semi-denite)
where I dene that
t
t
|{z}

As
B |{z}
s :
|{z}
k nn 1

k 1

Result 7:
If A and B are non-singular, k k, positive semi-denite, and symmetric matrices. Then A B is positive semi-denite
if and only if B 1 A 1 is positive semi-denite. (Equivalently, A B is positive semi-denite if and only if A 1 B 1
is negative semi-denite.)
(Proof)
Incomplete.