[Bhatia.Matrix Analysis.Solutions to Exercises and Problems]ExI.4.6

Let $A$ and $B$ be two matrices (not necessarily of the same size). Relative to the lexicographically ordered basis on the space of tensors, the matrix for $A\otimes B$ can be written in block form as follows: if $A=(a_{ij})$, then $$\bex A\otimes B=\sex{\ba{ccc} a_{11}B&\cdots&a_{1n}B\\ \vdots&\ddots&\vdots\\ a_{n1}B&\cdots&a_{nn}B \ea}. \eex$$

 

Solution. Let $A\in \scrL(\scrH)$, $B\in \scrL(\scrK)$, and $e_1,\cdots,e_n$; $f_1,\cdots,f_m$ be the orthonormal basis of $\scrH$ and $\scrK$ respectively. Then $$\beex \bea (A\otimes B)(e_i\otimes f_j) &=(Ae_i)\otimes (Bf_j)\\ &=\sum_k a_{ki}e_k\otimes \sum_l b_{lj}f_l\\ &=\sum_{k,l}a_{ki}b_{lj}e_k\otimes f_l\\ &=\sex{e_1\otimes f_1,\cdots,e_1\otimes f_n,\cdots,e_n\otimes f_n}\sex{\ba{c} a_{1i}b_{1j}\\ \vdots\\ a_{1i}b_{nj}\\ \vdots\\ a_{ni}b_{nj} \ea}. \eea \eeex$$

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Focusing on high-dimensional applications, this 4th edition presents the tools and concepts used in multivariate data analysis in a style that is also accessible for non-mathematicians and practitioners. It surveys the basic principles and emphasizes both exploratory and inferential statistics; a new chapter on Variable Selection (Lasso, SCAD and Elastic Net) has also been added. All chapters include practical exercises that highlight applications in different multivariate data analysis fields: in quantitative financial studies, where the joint dynamics of assets are observed; in medicine, where recorded observations of subjects in different locations form the basis for reliable diagnoses and medication; and in quantitative marketing, where consumers’ preferences are collected in order to construct models of consumer behavior. All of these examples involve high to ultra-high dimensions and represent a number of major fields in big data analysis. The fourth edition of this book on Applied Multivariate Statistical Analysis offers the following new features: A new chapter on Variable Selection (Lasso, SCAD and Elastic Net) All exercises are supplemented by R and MATLAB code that can be found on www.quantlet.de. The practical exercises include solutions that can be found in Härdle, W. and Hlavka, Z., Multivariate Statistics: Exercises and Solutions. Springer Verlag, Heidelberg. Table of Contents Part I Descriptive Techniques Chapter 1 Comparison of Batches Part II Multivariate Random Variables Chapter 2 A Short Excursion into Matrix Algebra Chapter 3 Moving to Higher Dimensions Chapter 4 Multivariate Distributions Chapter 5 Theory of the Multinormal Chapter 6 Theory of Estimation Chapter 7 Hypothesis Testing Part III Multivariate Techniques Chapter 8 Regression Models Chapter 9 Variable Selection Chapter 10 Decomposition of Data Matrices by Factors Chapter 11 Principal Components Analysis Chapter 12 Factor Analysis Chapter 13 Cluster Analysis Chapter 14 Discri

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