Tutorial Exercise I: Matrix Algebra

 a11  a1n   x1 
   
1. Let A       and x     , where A  0 . Show that
a  a  x 
 n1 nn   2
1  x1   xn
x1 a11  a1n
A  XX   A 1  XA 1X 
   
xn an1  ann

(This formula is useful in Econometrics)

2. If P and Q are invertible square matrices, prove that
1
P R  P 1 P 1RQ 1 
    
 0 Q  0 Q 1 

3. (a) Suppose A is nm and B is mn. Prove that I n  AB  I m  BA .(Hint: Define

I A  In A 
D n , E  . Then I n  AB  DE  D E  E D  ED  I m  BA .
0 Im  B Im 

(b) Use the result in (a) to prove that if a1, …, an are all different from 1, then
a1 1 1  1
1 a2 1  1
 n

1 1 a3  1   a1  1 a2  1  an  1 1   a 1 1 
 
    
i 1 i

1 1 1  an

 
(Hint: Let F  I n  A n1B1n where A n1   1 , 1 , , 1  and
 a1  1 a2  1 an  1 

B1n  1, 1,  , 1

1  2  0
     
4. Prove that  0  ,  1  , and  1  are linearly independent.
1 0 1
     
5. Suppose that a1 , , a n are vectors in m, all different from 0. Suppose that ai aj for all

ij. Prove that a1 , , a n are linearly independent.

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 6. Determine the rank of the following matrices:
 1 2 1 1 
 2 1 3 7   t  3 5 6 
  2 1 1 2  , (c) 1 t  3 6 

(a)  1 4 3 1  , (b)   
 3 2 5 11  1 1 1 3   1 
     1 t  4 
  2  5  2 0 
7. Solve the following systems and determine the number of degrees of freedom:
x1  x2  x3  0 x1  x2  x3  x4  0
(a) x1  2 x2  x3  0 (b) x1  3x2  2 x3  4 x4  0
2 x1  x2  3 x3  0 2 x1  x2  x4  0
8. Discuss the solutions of the following system for all values of a and b.
x  2 y  3z  1
 x  ay  21z  2
3x  7 y  az  b

1 3 2
 
9. Let the matrix At be defined for all real numbers t by A t   2 5 t 
4 7 t 6 

(a) Find the rank of At for each value of t.
 11
 
(b) When t3, find all vectors x that satisfy the vector equation A 3 X   3  .
6
 
(c) When t2, determine a vector z0 that is orthogonal to each vector of the form
A2X when X is an arbitrary vector in 3.
1 0 0 0
 
1 0 0 0
10. Find the real eigenvalues and the associated eigenvectors of A   .
0 0 0 1 
 
0 0 1 0

4 1 1 1
 
1 4 1 1
11. (a) Find the eigenvalues of A   .
1 1 4 1
 
1 1 1 4
(b) One of the eigenvalues has multiplicity 3. Find three linearly independent
eigenvectors associated with this eigenvalue.

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12. Let A   aij  
n
be a matrix where all column sums are 1, that is, i 1
aij  1 for all
n n

j  1, 2,, n . Prove that   1 is an eigenvalue of A.

13. Find a matrix P that diagonalizes the following matrices:
1 1 0  1 3 4
   
(a) 1 1 0 (b)  3 1 0
0 0 2  4 0 1
   
14. Write the following quadratic forms as XAX where A is symmetric:
(a) ax 2  bxy  cy 2 (b) 3 x12  2 x1 x2  3 x1 x3  x22  3 x32

15. If x1 , , xn are n independent observations (n>1) of a stochastic variable X, and

mx   n
j 1
xj  n is the mean of x1 , , xn , an estimator for the variance of X is

n
1
n 1 
( x j  mx ) 2 . Is this a quadratic form? If yes, is it positive definite?
j 1

16. Examine the definiteness of

(a) 2 x 2  4 xy  y 2 subject to 3x  4 y  0

x  y  z  0
(b) 5 x 2  2 xy  4 xz  y 2  2 z 2 Subject to 
4 x  2 y  z  0
17. Use partitioning to compute the inverse of the following matrices:
1 0 0 0 1
  2 3 0 0 2 0 0 0
0 1 0 0 1    
(a)  0 0 1 0 1 (b) 5 2 0 0
(c) 0 0 0 1
  0 0 4 3 0 0 1 0
0 0 0 1 0    
1 0 0 3 2 0 1 0 0
 1 1 0 1 