Weinstein–Aronszajn identity

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In mathematics, the Weinstein–Aronszajn identity states that if and are matrices of size m × n and n × m respectively (either or both of which may be infinite) then, provided is of trace class (and hence, so is ),

where is the identity matrix of order k.

It is closely related to the Matrix determinant lemma and its generalization. It is the determinant analogue of the Woodbury matrix identity for matrix inverses.

Proof[edit]

The identity may be proved as follows.[1] Let be a matrix comprising the four blocks , , and .

Because Im is invertible, the formula for the determinant of a block matrix gives

Because In is invertible, the formula for the determinant of a block matrix gives

Thus

Applications[edit]

This identify is useful in developing a Bayes estimator for multivariate Gaussian distributions.

The identity also finds applications in random matrix theory by relating determinants of large matrices to determinants of smaller ones.[2]

References[edit]

  1. ^ Pozrikidis, C. (2014), An Introduction to Grids, Graphs, and Networks, Oxford University Press, p. 271, ISBN 9780199996735
  2. ^ "The mesoscopic structure of GUE eigenvalues | What's new". Terrytao.wordpress.com. Retrieved 2016-01-16.