王松桂等线性模型引论86页 H ( X ′ X ) − H ′ H(X'X)^{-}H' H(X′X)−H′ 可逆的证明
1.已知条件
X X X 是 n × p n\times p n×p 设计阵, H H H 是 k × p k\times p k×p 已知矩阵, r k ( H ) = k rk(H)=k rk(H)=k, s p a n ( H ′ ) ⊂ s p a n ( X ′ ) span(H')\subset span(X') span(H′)⊂span(X′), 其中 s p a n ( A ) span(A) span(A) 表示矩阵 A A A 的列向量张成的子空间.
2.证明 H ( X ′ X ) − H ′ H(X'X)^{-}H' H(X′X)−H′ 跟所包含广义逆的选择无关
由
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span(H')\subset span(X')
span(H′)⊂span(X′) 知, 又由定理2.1.1知
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span(X')=span(X'X)
span(X′)=span(X′X), 从而
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span(H')\subset span(X'X)
span(H′)⊂span(X′X), 即存在矩阵
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H'=X'XU
H′=X′XU, 故
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H(X'X)^{-}H'=U'X'X(X'X)^{-}X'XU=U'X'XU,
H(X′X)−H′=U′X′X(X′X)−X′XU=U′X′XU, 可见
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U′X′XU 与广义逆
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(X'X)^{-}
(X′X)− 无关, 即证得
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H(X'X)^{-}H'
H(X′X)−H′ 跟所包含广义逆的选择无关.
3.证明 s p a n ( H ( X ′ X ) − H ′ ) = s p a n ( H X + ) span(H(X'X)^{-}H')=span(HX ^{+}) span(H(X′X)−H′)=span(HX+)
因为
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H(X'X)^{-}H'
H(X′X)−H′ 跟所包含广义逆的选择无关, 考虑加号逆, 有
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H(X'X)^{-}H'=H(X'X)^{+}H'
H(X′X)−H′=H(X′X)+H′, 再由推论 2.2.4 知
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(X'X)^{+}=X^{+}(X^{+})'
(X′X)+=X+(X+)′, 即得
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H(X'X)^{+}H'=HX^{+}(X^{+})'H'=HX^{+}(HX^{+})',
H(X′X)+H′=HX+(X+)′H′=HX+(HX+)′, 又由定理 2.1.1 知
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span(HX ^{+}(HX^{+})')=span(HX ^{+})
span(HX+(HX+)′)=span(HX+), 故
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span(H(X'X)^{-}H')=span(HX ^{+}).
span(H(X′X)−H′)=span(HX+).
4.证明 s p a n ( H X + ) = s p a n ( H ) span(HX ^{+})=span(H) span(HX+)=span(H)
由 s p a n ( H ′ ) ⊂ s p a n ( X ′ ) span(H')\subset span(X') span(H′)⊂span(X′) 知, 存在矩阵 A A A, 使得 H ′ = X ′ A H'=X'A H′=X′A, 结合加号逆性质 X X + X = X XX^{+}X=X XX+X=X 知 s p a n ( H ) = s p a n ( A ′ X ) = s p a n ( A ′ X X + X ) ⊂ s p a n ( A ′ X X + ) , span(H)=span(A'X)=span(A'XX^{+}X)\subset span(A'XX^{+}), span(H)=span(A′X)=span(A′XX+X)⊂span(A′XX+), 而 s p a n ( A ′ X X + ) = s p a n ( H X + ) ⊂ s p a n ( H ) , span(A'XX^{+})=span(HX^{+})\subset span(H), span(A′XX+)=span(HX+)⊂span(H), 故 s p a n ( A ′ X X + ) = s p a n ( H ) span(A'XX^{+})=span(H) span(A′XX+)=span(H), 即 s p a n ( H X + ) = s p a n ( H ) span(HX ^{+})=span(H) span(HX+)=span(H).
5.证明 H ( X ′ X ) − H ′ H(X'X)^{-}H' H(X′X)−H′ 可逆
因为 s p a n ( H ( X ′ X ) − H ′ ) = s p a n ( H ) span(H(X'X)^{-}H')=span(H) span(H(X′X)−H′)=span(H), 所以 r k ( H ( X ′ X ) − H ′ ) = r k ( H ) = k rk(H(X'X)^{-}H')=rk(H)=k rk(H(X′X)−H′)=rk(H)=k, 注意到 H ( X ′ X ) − H ′ H(X'X)^{-}H' H(X′X)−H′ 是 k × k k\times k k×k 的方阵, 从而 H ( X ′ X ) − H ′ H(X'X)^{-}H' H(X′X)−H′ 满秩, 即 H ( X ′ X ) − H ′ H(X'X)^{-}H' H(X′X)−H′ 可逆.
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