How can this be equal to the unit matrix?

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Homework Help Overview

The discussion revolves around verifying a mathematical expression involving a nonsingular covariance matrix C and the unit matrix I. The original poster seeks to understand how the expression \((C^{1/2})^{T}C^{-1}C^{1/2}=I\) can be validated without providing a complete solution.

Discussion Character

  • Exploratory, Conceptual clarification

Approaches and Questions Raised

  • Participants discuss the properties of matrix multiplication and the definitions of matrix inverses and square roots. The original poster expresses a desire to understand the verification process rather than solve it outright.

Discussion Status

Some participants have offered insights into the relationships between the matrices involved, including the properties of invertible matrices and matrix square roots. There seems to be a productive exchange of ideas, with clarification occurring around the order of multiplication.

Contextual Notes

The original poster emphasizes a preference for understanding over solving, indicating a focus on conceptual clarity rather than procedural steps. There is an implicit assumption that the properties of the matrices are understood but require further exploration in this context.

Reid
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Homework Statement


At the lecture yesterday the teacher just ended up with a result I could not arrive at. So, how
can the below stated expression be verified?

[tex]\left(C^{1/2}\right)^{T}C^{-1}C^{1/2}=I[/tex]
Here C is a nonsingular covariance matrix, obviously, and I is the unit matrix.

I will not make an attempt of a solution because then it feels like I would solve it but not understand. I hope that is ok. What I seek here is not an rigorous proof. I just want to understand.

Hope someone can help me!
 
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Suppose some invertible matrix n×n C is decomposed into the product of two n×n matrices A and B:

[tex]C = AB[/tex]

Then A and B must themselves be invertible and the inverse of C is given by

[tex]C^{-1} = B^{-1}A^{-1}[/tex]

The definition of the matrix square root of some matrix C is that

[tex]C=\left(C^{1/2}\right)^T\,C^{1/2}[/tex]

Combine the above two and the result in the original post falls right out.
 
If I understand you correctly, then it is allowed to change the order in the matrix multiplication?
[tex]C^{-1}C^{1/2}=C^{1/2}C^{-1}[/tex]
 
There was no need to change the order. Now I see. :) Thanks!
 

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