This preview shows page 1. Sign up to view the full content.
Unformatted text preview: An Overview of Matrix Algebra
x STATA matrix commands What is it?
x Matrix algebra is a means of making calculations upon arrays of numbers (or
x Your data set is a matrix Why use it?
x Matrix algebra makes mathematical expression and computation easier.
x It allows you to get rid of cumbersome
notation, concentrate on the concepts
involved and understand where your results
come from. Definitions - scalar
x a scalar is a number
– (denoted with regular type: 1 or 22) Definitions - vector
x Vector: a single row or column of numbers
– denoted with bold small letters
– row vector
a = [1 2 3 4 5]
– column vector
b= 1 2 3 4
5 Definitions - Matrix
xA matrix is an array of numbers A a11 a12 a13 = a 21 a 22 a 23 xDenoted with a bold Capital letter
xAll matrices have an order (or dimension):
that is, the number of rows × the number
of columns. So, A is 2 by 3 or (2 × 3). Definitions
x A square matrix is a matrix that has the same number of rows and columns (n × n) Matrix Equality
x Two matrices are equal if and only if
– they both have the same number of rows and
the same number of columns
– their corresponding elements are equal Matrix Operations
x Addition and Subtraction
x Inversion The Transpose of a Matrix: A'
x The transpose of a matrix is a new matrix that is formed by interchanging the rows
x The transpose of A is denoted by A' or (AT) Example of a transpose
x Thus, a11 a12 A = a21 a22 a a 31 32 a11 a21 a31 A' = a12 a22 a32 x If A = A', then A is symmetric Addition and Subtraction
x Two matrices may be added (or subtracted) iff they are the same order.
x Simply add (or subtract) the corresponding elements. So, A + B = C yields Addition and Subtraction (cont.)
a11 a12 b11 b12 c11 c12 a
a22 + b21 b22 = c 21 c 22 21 a31 a32 b31 b32 c31 c32 xWhere a11 + b11 = c11
a12 + b12 = c12
a21 + b21 = c 21
a22 + b22 = c 22
a31 + b31 = c31
a32 + b32 = c32 Matrix Multiplication
x To multiply a scalar times a matrix, simply multiply each element of the matrix by the
scalar quantity a11 a12 ka11 ka12 k = ka21 ka22 a21 a22 Matrix Multiplication (cont.)
x To multiply a matrix times a matrix, we write
• AB (A times B) x This is pre-multiplying B by A, or post- multiplying A by B. Matrix Multiplication (cont.)
x In order to multiply matrices, they must be CONFORMABLE
x that is, the number of columns in A must
equal the number of rows in B
(m × n) × (n × p) = (m × p) Matrix Multiplication (cont.)
x (m × n) × (p × n) = cannot be done
x (1 × n) × (n × 1) = a scalar (1x1) Matrix Multiplication (cont.)
x Thus x where a11 a12 a13 b11 b12 c11 c12 a a
a23 x b21 b22 = c 21 c 22 21 22 a31 a32 a33 b31 b32 c31 c32 c11 = a11b11 + a12 b21 + a13b31
c12 = a11b12 + a12 b22 + a13b32
c 21 = a21b11 + a22 b21 + a23b31
c 22 = a21b12 + a22 b22 + a23b32
c31 = a31b11 + a32 b21 + a33b31
c32 = a31b12 + a32 b22 + a33b32 Matrix Multiplication- an
x Thus 1 4 7 1 4 c11 c12 30 66 2 5 8 x 2 5 = c
c 22 = 36 81 21 3 6 9 3 6 c31 c32 42 96 x where
c11 = 1 * 1 + 4 * 2 + 7 * 3 = 30
c12 = 1 * 4 + 4 * 5 + 7 * 6 = 66
c 21 = 2 * 1 + 5 * 2 + 8 * 3 = 36
c 22 = 2 * 4 + 5 * 5 + 8 * 6 = 81
c31 = 3 * 1 + 6 * 2 + 9 * 3 = 42
c32 = 3 * 4 + 6 * 5 + 9 * 6 = 96 Properties
x AB does not necessarily equal BA
x (BA may even be an impossible operation)
x For example, A
(2 × 3) ×
(3 × 2) × B
(3 × 2) =
(2 × 3) = C
(2 × 2)
(3 × 3) Properties
x Matrix multiplication is Associative A(BC) = (AB)C
x Multiplication and transposition (AB)' = B'A' A popular matrix: X'X
X= 1 X' X = x11 x12 x1n 1 1 1 × x11 x12 x1n 1 x11 1 x12 1 x 1n = n
∑ 1i i =1 ∑ x1i i =1 n
∑ x1i i =1 n Another popular matrix: e'e
e = e' e e1 e 2 en = [ e1 e2 en ] e1 e × 2 en = n ei2
i =1 Special matrices
x There are a number of special matrices
– Identity Diagonal Matrices
– A diagonal matrix is a square matrix that has
values on the diagonal with all off-diagonal
entities being zero.
0 0 a44 Identity Matrix
x An identity matrix is a diagonal matrix where the diagonal elements all equal one.
0 0 0 0
0 0 1 A× I=A Null Matrix
x A square matrix where all elements equal zero.
0 0 0 0
0 0 0 The Determinant of a Matrix
x The determinant of a matrix A is denoted by |A| (or det(A)).
x Determinants exist only for square matrices.
x They are a matrix characteristic, and they
are also difficult to compute The Determinant for a 2x2 matrix
x If A = a11 a12 a 21 a22 x Then A = a11a22 − a12a21 Properties of Determinates
x Determinants have several mathematical properties which are useful in matrix
manipulations. – 1 |A|=|A'|.
– 2. If a row or column of A = 0, then |A|= 0.
– 3. If every value in a row or column is multiplied by
k, then |A| = k|A|.
– 4. If two rows (or columns) are interchanged the
sign, but not value, of |A| changes.
– 5. If two rows or columns are identical, |A| = 0.
– 6. If two rows or columns are linear combination of
each other, |A| = 0 Properties of Determinants
– 7. |A| remains unchanged if each element of a
row or each element multiplied by a constant, is
added to any other row.
– 8. |AB| = |A| |B|
– 9. Det of a diagonal matrix = product of the
diagonal elements Rank
x The rank of a matrix is defined as
x rank(A) = number of linearly independent rows = the number of linearly independent columns.
x A set of vectors is said to be linearly dependent if scalars c1, c2, …, cn (not all zero) can be found
c1a1 + c2a2 + … + cnan = 0 For example,
a = [1 21 12] and b = [1/3 7 4] are
x A matrix A of dimension n × p (p < n) is of rank p. Then A has maximum possible rank
and is said to be of full rank.
x In general, the maximum possible rank of
an n × p matrix A is min(n,p). The Inverse of a Matrix (A-1)
x For an n × n matrix A, there may be a B such that AB = I = BA.
x The inverse is analogous to a reciprocal
x A matrix which has an inverse is nonsingular.
x A matrix which does not have an inverse is
x An inverse exists only if
A ≠0 Properties of inverse matrices
x ( AB ) x ( A' ) x −1 −1 (A ) -1 −1 = BA
-1 -1 = (A ) ' = A -1 How to find inverse matrixes?
determinants? and more?
a b x If A = c d A -1 = and |A| ≠ 0 1
det( A) d − b
− c a x Otherwise, we use STATA ...
View Full Document
This note was uploaded on 10/21/2011 for the course PS 233 taught by Professor Staff during the Spring '11 term at Duke.
- Spring '11