Recent content by IlyaMath

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    Graduate Proving a linear algebra equation

    This problem comes from Bayesian statistics, where N is number of observations and F is number of factors. All of the Sigma (Σ) are variance-covariance matrices. The Greek characters after each Σ are meant to be subscripts.
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    Graduate Proving a linear algebra equation

    Yes, HallsofIvy, you are correct...
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    Graduate Proving a linear algebra equation

    I am having trouble proving that two multivariate formulas are equivalent. I implemented them in MATLAB and numerically they appear to be equivalent. I would appreciate any help on this. Prove A = B A = (Σπ^-1 + Σy^-1)^-1 * (Σπ^-1*π + Σy^-1*y) y = π+ X*β Σπ =τ*Σ Σy = X' * Σβ * X + ΣεB =...