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Theorem 5.2b of Linear Models in Statistics by Rencher and Schaalje is

If $\mathbf{y}$ is $N_p(\mathbf{\mu},\mathbf{\Sigma})$, then the moment generating function of $\mathbf{y}^\intercal\mathbf{A}\mathbf{y}$ is \begin{equation} M_{\mathbf{y}^\intercal\mathbf{A}\mathbf{y}}(t)=|\mathbf{I}-2t\mathbf{A}\mathbf{\Sigma}|^{-1/2}\exp(-\mathbf{\mu}^\intercal[\mathbf{I}-(\mathbf{I}-2t\mathbf{A}\mathbf{\Sigma})^{-1}]\mathbf{\Sigma}^{-1} \mathbf{\mu}/2) \end{equation}

I do not understand two parts of the proof:

  1. The text asserts that "for $t$ sufficiently close to $0$, $\mathbf{I}-2t\mathbf{A\Sigma}$ is nonsingular." How can I prove this?
  2. At one point in the proof, the random vectors $\mathbf{\theta}^\intercal=\mathbf{\mu}^\intercal(\mathbf{I}-2t\mathbf{A\Sigma})^{-1}$ and $\mathbf{V}^{-1} = (\mathbf{I} - 2t\mathbf{A\Sigma})\mathbf{\Sigma}^{-1}$ are defined to use the product $\mathbf{\theta}^\intercal \mathbf{V}^{-1}=\mathbf{\mu}^\intercal\mathbf{\Sigma}^{-1}$. It is then stated that $\mathbf{V}$ (and $\mathbf{\Sigma}$) is symmetric, so $\mathbf{V}^{-1}\mathbf{\theta}=\mathbf{\Sigma}^{-1}\mathbf{\mu}$.

I understand how to get $\mathbf{V}^{-1}\mathbf{\theta}=\mathbf{\Sigma}^{-1}\mathbf{\mu}$ from $\mathbf{V}$ and $\mathbf{\Sigma}$ being symmetric but how do I prove that $\mathbf{V}$ is symmetric?

Soyuz42
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1 Answers1

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I assume that $A$ is symmetric. Then, the second claim follows by taking the transpose from $V^{-1}$, and proving that $V^{-1}$ is symmetric. Then, note that given an invertible matrix is symmetric then the matrix itself is also symmetric.

MMH
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  • Making the assumption that $\mathbf{A}$ is symmetric, I got as far as $(\mathbf{V}^{-1})^\intercal = (\mathbf{\Sigma}^{-1})^\intercal (\mathbf{I} - 2t\mathbf{A\Sigma})^\intercal = \mathbf{\Sigma}^{-1}(\mathbf{I}-2t\mathbf{\Sigma A})$, but I can't seem to make this equal to $\mathbf{V}^{-1}$. – Soyuz42 Apr 11 '22 at 23:04
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    We can write $$\Sigma^{-1}(\mathbf{I}-2t\Sigma A)=\Sigma^{-1}-2t\Sigma^{-1}\Sigma A=\Sigma^{-1} - 2t A= (\mathbf{I}-2t A\Sigma)\Sigma^{-1} $$. – MMH Apr 12 '22 at 03:44