A Useful Matrix Decomposition and Its Statistical Applications in Linear Regression
Jarkko Isotalo, Simo Puntanen, George P. H. Styan · Communication in Statistics- Theory and Methods · 2008
It is well known that if V is a symmetric positive definite n × n matrix, and (X: Z) is a partitioned orthogonal n × n matrix, then In this article, we show how useful we have found the formula (∗), and in particular, its version and present several related formulas, as well as some generalized versions. We also include several statistical applications.