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Richard E. Quandt

Princeton University

Definition 1. Let A be a square matrix of order n and let λ be a scalar quantity. Then det(A−λI)

is called the characteristic polynomial of A.

It is clear that the characteristic polynomial is an nth degree polynomial in λ and det(A−λI) = 0

will have n (not necessarily distinct) solutions for λ.

Definition 2. The values of λ that satisfy det(A − λI) = 0 are the characteristic roots or

eigenvalues of A.

It follows immediately that for each λ that is a solution of det(A−λI) = 0 there exists a nontrivial

x (i.e., x 6= 0) such that

(A − λI)x = 0. (1)

Definition 3. The vectors x that satisfy Eq.(1) are the characteristic vectors or eigenvectors of

A.

Now consider a particular eigenvalue λ and its corresponding eigenvector x, for which we have

λx = Ax. (2)

λP x = P Ax = P AP −1 P x, (3)

and defining P x = y,

λy = P AP −1 y. (4)

Definition 4. The matrices A and P AP −1 are called similar matrices.

Exercise 1. We have shown above that any eigenvalue of A is also an eigenvalue of P AP −1 .

Now show the converse, i.e., that any eigenvalue of P AP −1 is also an eigenvalue of A.

Definition 5. A matrix A is symmetric if A = A0 .

2 Quandt

Proof . A polynomial of nth degree may, in general, have complex roots. Assume then, contrary

to the assertion of the theorem, that λ is a complex number. The corresponding eigenvector x may

have one or more complex elements, and for this λ and this x we have

Ax = λx. (5)

Both sides of Eq. (5) are, in general, complex, and since they are equal to one another, their complex

conjugates are also equal. Denoting the conjugates of λ and x by λ and x respectively, we have

Ax = λx, (6)

since (a + bi)(c + di) = ac − bd + (ad + bc)i = ac − bd − (ad + bc)i = (a − bi)(c − di). Premultiply

(5) by x0 and premultiply (6) by x0 and subtract, which yields

x0 Ax − x0 Ax = (λ − λ)x0 x. (7)

Each term on the left hand side is a scalar and and since A is symmetric, the left hand side is equal

to zero. But x0 x is the sum of products of complex numbers times their conjugates, which can never

be zero unless all the numbers themselves are zero. Hence λ equals its conjugate, which means that

λ is real.

are orthogonal to each other.

Proof . Let λi 6= λj . Substitute in Eq. (5) first λi and its corresponding eigenvector xi , and

premultiply it by x0j , which is the eigenvector corresponding to λj . Then reverse the procedure and

substitute in (5) the j th eigenvalue and eigenvector and premultiply by x0i . Subtracting the two

results from one another yields (λi − λj )x0i xj = 0, from which it follows that x0i xj = 0.

Corollary 1. If all the eigenvalues of a symmetric matrix A are distinct, the matrix X, which

has as its columns the corresponding eigenvectors, has the property that X 0 X = I, i.e., X is an

orthogonal matrix.

Proof . To prove this we need merely observe that (1) since the eigenvectors are nontrivial (i.e.,

do not have all zero elements), we can replace each eigenvector by a corresponding vector which

is obtained from the original one by dividing each of its elements by the squareroot of the sum of

squares of its elements—thus insuring that each of these vectors has length 1; and (2) the n vectors

are mutually orthogonal and hence form a orthonormal basis in n-space.

Regression Theory 3

= 2, then there exist m orthonormal

eigenvectors corresponding to λi .

Proof . First, we note that corresponding to λi there will be at least one eigenvector xi . For any

arbitrary nonzero vector xi one can always find an additional n − 1 vectors yj , j = 2, . . . , n, so that

xi , together with the n − 1 y-vectors forms an orthonormal basis. Collect the y vectors in a matrix

Y , i.e.,

Y = [y2 , . . . , yn ],

and define

B = [ xi Y ]. (8)

Then

0 λi x0i xi x0i AY λi 0

B AB = = (9)

λ i Y 0 xi Y 0 AY 0 Y 0 AY

since (1) the products in the first column under the 11 element are products of orthogonal vectors,

and (2) replacing in the first row (other than in the 11 element) the terms x0i A by λi x0i also leads to

products of orthogonal vectors. B is an orthogonal matrix, hence its transpose is also its inverse.

Therefore A and B 0 AB are similar matrices (see Definition 4) and they have the same eigenvalues.

From (9), the characteristic polynomial of B 0 AB can be written as

= 2, then in the factored form of the polynomial the term (λi −λ)

>

occurs m times; hence if m = 2, det(Y 0 AY − λi In−1 ) = 0, and the null space of (B 0 AB − λi In )

has dimension greater than or equal to 2. In particular, if m = 2, the null space has dimension

2, and there are two linearly independent and orthogonal eigenvectors in this nullspace.1 If the

multiplicity is greater, say 3, then there are at least two orthogonal eigenvectors xi1 and xi2 and we

can find another n − 2 vectors yj such that [xi1 , xi2 , y3 , . . . , yn ] is an orthonormal basis and repeat

the argument above.

It also follows that if a root has multiplicity m, there cannot be more than m orthogonal eigen-

vectors corresponding to that eigenvalue, for that would lead to the conclusion that we could find

more than n orthoganl eigenvectors, which is not possible.

1

Note that any set of n linearly independent vectors in n-space can be transformed into an orthonormal basis the

Schmidt orthogonalization process.

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