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A standard-normal matrix with at least as many columns as rows has full row rank almost surely

Statement

Assume the Axiom of Choice. Let 1≤p≤m and let G=[G1∣⋯∣Gm] be a p×m matrix whose columns are independent Np(0,Ip) random vectors. Then the first p columns are linearly independent almost surely. Consequently GGT is positive definite almost surely.

Facts & Assumptions

Given: The Axiom of Choice, integers 1≤p≤m, and independent standard multivariate-normal columns Gj∈Rp.

[A1]

The Axiom of Choice supplies the countable-choice measurability branch used by the continuous-map supplier and the Gaussian law definitions. The Axiom of Choice AC supplies countable selections and prescribed serial paths

[F1]

A family of random elements is independent when the sigma-algebras it generates are independent, and its finite joint law is the product of its marginal laws. Independent random elements Independent random elements have product joint law

[F2]

If Gj∼Np(0,Ip), then aTGj∼N(0,aTa) for every fixed a∈Rp. Multivariate normal law, including singular covariance

[F3]

Every proper subspace of a finite-dimensional inner-product space has a nonzero orthogonal complement. For a subspace W of a finite-dimensional inner product space, V=W⊕W⊥

[F4]

Nonnegative measurable functions on finite product probability spaces may be integrated by sections using Tonelli's theorem. Tonelli's theorem for nonnegative measurable functions on a sigma-finite product

[F5]

Continuous Euclidean functions are Borel measurable under countable choice; determinant minors are continuous polynomials. Continuous functions on Euclidean spaces are Borel measurable

Proof

Given: The hypotheses in the Statement.

1.1A1F1F2F3F4F5choose

For k=0, the first column is nonzero almost surely: the event G1=0 is contained in the event that its first coordinate is zero, which has probability zero because a standard normal has a density. For 1≤k<p, suppose the first k columns are linearly independent. For each fixed such tuple v1,…,vk, their span V is proper; by [F3] choose a≠0 with a⊥V. The next column is independent of this tuple by [F1], and [F2] gives aTGk+1∼N(0,∥a∥2), so P(Gk+1∈V)=0 because that event is contained in {aTGk+1=0}. The set of dependent (k+1)-tuples is Borel, since dependence is the simultaneous vanishing of its (k+1)×(k+1) minors and [F5] makes these determinant maps Borel. Integrating these zero-probability sections by [F1] and [F4], and adding the null set of dependent first k-tuples, shows that the first k+1 columns are linearly independent almost surely.

2.1step 1.1algebra∎

Applying step 1.1 successively through k=p−1 shows that the square matrix B=[G1∣⋯∣Gp] is invertible almost surely. For any nonzero v∈Rp, the first p coordinates of GTv are BTv≠0, so vTGGTv=∥GTv∥2>0. Thus GGT is positive definite almost surely.

Depends on

Used by

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Sources