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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 and let be a matrix whose columns are independent random vectors. Then the first columns are linearly independent almost surely. Consequently is positive definite almost surely.
Facts & Assumptions
Given: The Axiom of Choice, integers , and independent standard multivariate-normal columns .
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
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
If , then for every fixed . Multivariate normal law, including singular covariance
Every proper subspace of a finite-dimensional inner-product space has a nonzero orthogonal complement. For a subspace of a finite-dimensional inner product space,
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
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.
For , the first column is nonzero almost surely: the event is contained in the event that its first coordinate is zero, which has probability zero because a standard normal has a density. For , suppose the first columns are linearly independent. For each fixed such tuple , their span is proper; by [F3] choose with . The next column is independent of this tuple by [F1], and [F2] gives , so because that event is contained in . The set of dependent -tuples is Borel, since dependence is the simultaneous vanishing of its 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 -tuples, shows that the first columns are linearly independent almost surely.
Applying step 1.1 successively through shows that the square matrix is invertible almost surely. For any nonzero , the first coordinates of are , so . Thus is positive definite almost surely.
Depends on
- The Axiom of Choice
- Multivariate normal law, including singular covariance
- Standard normal and normal laws
- Independent random elements
- Independent random elements have product joint law
- For a subspace $W$ of a finite-dimensional inner product space, $V=W\oplus W^\perp$
- Tonelli's theorem for nonnegative measurable functions on a sigma-finite product
- Continuous functions on Euclidean spaces are Borel measurable
- AC supplies countable selections and prescribed serial paths
Used by
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Sources
- Arak Mathai, Serge Provost, and Hans Haubold, Multivariate Statistical Analysis in the Real and Complex Domains, Chapter 3, PDF pp. 55–58 (standard reference, not scraped)
- Soumendu Sundar Mukherjee, Multivariate Analysis 2021, Lecture 3, PDF pp. 1–3 (standard reference, not scraped)
- Peter D. Hoff, Multivariate Statistical Analysis, Duke STA 832 lecture notes, relevant sections in Chapters 4 and 7 (standard reference, not scraped)