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Peter J. Hammond
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Vectors
Matrices
x = 21 (b1 + b2 ), y = 12 (b1 − b2 )
University of Warwick, EC9A0 Maths for Economists Peter J. Hammond 3 of 76
Using Matrix Notation, I
Matrix notation allows the two equations
1x + 1y = b1
1x − 1y = b2
to be expressed as
1 1 x b1
=
1 −1 y b2
or as Az = b, where
1 1 x b1
A= , z= , and b = .
1 −1 y b2
collapses to
a b x u
= .
0 0 y v − c/a
This leaves us with two “subsubcases”:
if c 6= av , then the left-hand side of the second equation is 0,
but the right-hand side is non-zero,
so there is no solution;
if c = av , then the second equation reduces to 0 = 0,
and there is a continuum of solutions
satisfying the one remaining equation ax + by = u,
or x = (u − by )/a where y is any real number.
University of Warwick, EC9A0 Maths for Economists Peter J. Hammond 8 of 76
Two General Equations, Case 2
x> = (x1 , x2 , . . . , xm ).
Exercise
Consider the quadratic form f (w) := w> w
as a function f : Rn → R of the column n-vector w.
Explain why f (w) ≥ 0 for all w ∈ Rn ,
with equality if and only if w = 0,
where 0 denotes the zero vector of Rn .
si = xi + yi and di = xi − yi
for i = 1, 2, . . . , n.
The scalar product λx of any scalar λ ∈ R
and vector x = (xi )ni=1 ∈ Rn is constructed by multiplying
each component of the vector x by the scalar λ — i.e.,
λx = (λxi )ni=1
V × V 3 (u, v) 7→ u + v ∈ V
of vector addition
I the binary operation
F × V 3 (α, u) 7→ αu ∈ V
of scalar multiplication
which are required to satisfy
all of the following eight vector space axioms.
University of Warwick, EC9A0 Maths for Economists Peter J. Hammond 20 of 76
Eight Vector Space Axioms
1. Addition is associative: u + (v + w) = (u + v) + w
2. Addition is commutative: u + v = v + u
3. Additive identity: There exists a zero vector 0 ∈ V
such that v + 0 = v for all v ∈ V .
4. Additive inverse: For every v ∈ V , there exists
an additive inverse −v ∈ V of v such that v + (−v) = 0.
5. Scalar multiplication is distributive w.r.t. vector addition:
α(u + v) = αu + αv
6. Scalar multiplication is distributive w.r.t. field addition:
(α + β)v = αv + βv
7. Scalar and field multiplication are compatible: α(βv) = (αβ)v
8. 1 ∈ F is an identity element for scalar multiplication: 1v = v
Exercise
Given an arbitrary algebraic field F, let Fn denote
the space of all lists hai ini=1 of n elements ai ∈ F
— i.e., the n-fold Cartesian product of F with itself.
Show how to construct the respective binary operations
Fn × Fn 3 (x, y) 7→ x + y ∈ Fn
F × Fn 3 (λ, x) 7→ λx ∈ Fn
Definition Pk
A linear combination of vectors is the weighted sum h
h=1 λh x ,
where xh ∈ V and λh ∈ F for h = 1, 2, . . . , k.
Exercise
By induction on k, show that the vector space axioms
imply that any linear combination of vectors in V
must also belong to V .
Definition
A function V 3 u 7→ f (u) ∈ F is linear
provided that it preserves linear combinations in the sense that
whenever u, v ∈ V and λ, µ ∈ V .
Exercise
In case V = Rn and F = R, show that
any linear function is homogeneous of degree 1,
meaning that f (λv) = λf (v) for all λ ∈ R and all v ∈ Rn .
In particular, putting λ = 0 gives f (0) = 0.
What is the corresponding property in case V = Qn and F = Q?
University of Warwick, EC9A0 Maths for Economists Peter J. Hammond 26 of 76
Affine Functions
Definition
A function g : V → F is said to be affine
if there is a scalar additive constant α ∈ F
and a linear function f : V → F such that g (v) ≡ α + f (v).
Exercise
Under what conditions is an affine function g : R → R linear
when its domain R is regarded as a vector space?
Theorem
Except in the trivial case when HPhas only P one member,
Cauchy’s functional equation F ( h yh ) ≡ h fh (yh ) is satisfied
for functions F , fh : Q → R if and only if:
1. there exists a single function φ : Q → R such that
Proof.
Suppose fh (yh ) ≡ αh + ρyh for all h ∈ P P) ≡ A + ρY .
H, and F (Y
Then Cauchy’s functional equation F ( P y
h h ) ≡ h fh (yh )
is obviously satisfied provided that A = h αh .
Proof.
To prove part 1, consider any i ∈ H and all q ∈ Q.
P P
Note that Cauchy’s equationPF ( h yh ) ≡ h fh (yh )
implies that F (q) = fi (q)P+ h6=i fh (0)
and also F (0) = fi (0) + h6=i fh (0).
Now define the function φ(q) := F (q) − F (0) on the domain Q.
Then subtract the second equation from the first to obtain
φ(q + q 0 ) = F (q + q 0 ) − F (0)
= fi (q) − fi (0) + fj (q 0 ) − fj (0)
= φ(q) + φ(q 0 )
by (
1 if i = j
δij :=
0 otherwise
Then the set of k vectors {x1 , x2 , . . . , xk } ⊂ Rn is orthonormal
if and only if xi · xj = δij for all pairs i, j ∈ {1, 2, . . . , k}.
University of Warwick, EC9A0 Maths for Economists Peter J. Hammond 40 of 76
Outline
Solving Two Equations in Two Unknowns
Vectors
Vectors and Inner Products
Addition, Subtraction, and Scalar Multiplication
Linear versus Affine Functions
Norms and Unit Vectors
Orthogonality
The Canonical Basis
Linear Independence and Dimension
Matrices
Matrices and Their Transposes
Matrix Multiplication: Definition
Square, Symmetric, and Diagonal Matrices
The Identity Matrix
Example
A prominent orthonormal set is the canonical basis of Rn ,
defined as the set of n different n-vectors ei (i = 1, 2, . . . , n)
whose respective components (eji )nj=1
satisfy eji = δij for all j ∈ {1, 2, . . . , n}.
Exercise
Show that each n-vector x = (xi )ni=1 is a linear combination
Xn
x = (xi )ni=1 = xi ei
i=1
Example
Consider the case when each vector x ∈ Rn is a quantity vector,
whose components are (xi )ni=1 ,
where xi indicates the net quantity of commodity i.
Then the ith unit vector ei of the canonical basis of Rn
represents a commodity bundle
that consists of one unit of commodity i,
but nothing of every other commodity.
In case the row vector p> ∈ Rn
is a price vector for the same list of n commodities,
the value p> ei of the ith unit vector ei must equal pi ,
the price (of one unit) of the ith commodity.
Theorem
The function f : Rn → R is linear
iff there exists y ∈ Rn such that f (x) = y> x.
Proof.
Sufficiency is easy to check.
Pn i
Conversely, note that x equals the linear combination i=1 xi e
of the n canonical basis vectors.
Hence, linearity of f implies that
Xn Xn
f (x) = f xi ei = xi f (ei ) = y> x
i=1 i=1
Definition
The vector-valued function
is a linear transformation
just in case each component function Fi : Rn → R is linear
— or equivalently, iff F(λx + µy) = λF(x) + µF(y)
for every linear combination λx + µy of every pair x, y ∈ Rn .
Proof.
Sufficiency is obvious.
Conversely, because x equals the linear combination ni=1 xi ei
P
of the n canonical basis vectors {ei }ni=1
and because each component function Rn 3 x 7→ Fi (x) is linear,
one has
Xn Xn
Fi (x) = Fi xj ej = xj Fi (ej ) = yi> x
j=1 j=1
Definition
A linear combination of theP finite set {x1 , x2 , . . . , xk } of vectors
is the scalar weighted sum kh=1 λh xh ,
where λh ∈ R for h = 1, 2, . . . , k.
Definition
The finite set {x1 , x2 , . . . , xk } of vectors is linearly
P independent
just in case the only solution of the equation kh=1 λh xh = 0
is the trivial solution λ1 = λ2 = · · · = λk = 0.
Alternatively, if the equation has a non-trivial solution,
then the set of vectors is linearly dependent.
Theorem
The finite set {x1 , x2 , . . . , xk } of k n-vectors is linearly dependent
if and only if at least one of the vectors, say x1 after reordering,
can be expressed as a linear combination of the others
— i.e., there exist h
1
Pkscalars hα (h = 2, 3, . . . , k)
such that x = h=2 αh x .
Proof. P
If x = h=2 αh xh , then (−1)x1 + kh=2 αh xh = 0,
1 k P
Pk h
Conversely, suppose h=1 λh x = 0 has a non-trivial solution.
After reordering, we can suppose that λ1 6= 0.
Then x1 = kh=2 αh xh ,
P
where αh = −λh /λ1 for h = 2, 3, . . . , k.
Exercise
Show that the canonical basis of Rn is linearly independent.
Example
The previous exercise shows that the dimension of Rn is at least n.
Later results will imply that any set of k > n vectors in Rn
is linearly dependent.
This implies that the dimension of Rn is exactly n.
Exercise
Let X be any m × n matrix, and z any column n-vector.
1. Show that the matrix product z> X> Xz is well-defined,
and that its value is a scalar.
2. By putting w = Xz in the previous exercise regarding the sign
of the quadratic form w> w, what can you conclude
about the value of the scalar z> X> Xz?
University of Warwick, EC9A0 Maths for Economists Peter J. Hammond 60 of 76
Exercise for Econometricians
Exercise
An econometrician has access to data series (such as time series)
involving the real values
I yt (t = 1, 2, . . . , T ) of one endogenous variable;
I xti (t = 1, 2, . . . , T and i = 1, 2, . . . , k)
of k different exogenous variables
— sometimes called explanatory variables or regressors.
The data is to be fitted into the linear regression model
Xk
yt = bi xti + et
i=1
Here is a 2 × 2 example:
Example
0 1 0 0 0 1 0 0 0 0 0 1
= 6= =
1 0 0 1 0 0 1 0 0 1 1 0
Exercise
For matrix multiplication,
why are there two different versions of the distributive law?
Exercise
Let A, B, C denote three matrices. Give examples showing that:
1. The matrix AB might be defined, even if BA is not.
2. One can have AB = 0 even though A 6= 0 and B 6= 0.
3. If AB = AC and A 6= 0, it does not follow that B = C.
Exercise
Let x be a column n-vector.
1. Find the dimensions of x> x and of xx> .
2. Show that one is a non-negative number
which is positive unless x = 0,
and that the other is a symmetric matrix.
Exercise
Let A be an m × n-matrix.
1. Find the dimensions of A> A and of AA> .
2. Show that both A> A and of AA> are symmetric matrices.
3. Show that m = n is a necessary condition for A> A = AA> .
4. Show that m = n with A symmetric
is a sufficient condition for A> A = AA> .
Exercise
Let D be a diagonal matrix of dimension n,
and C any n × n matrix.
An earlier example shows that
one can have CD 6= DC even if n = 2.
1. Show that C being diagonal
is a sufficient condition for CD = DC.
2. Is this condition necessary?
University of Warwick, EC9A0 Maths for Economists Peter J. Hammond 72 of 76
Outline
Solving Two Equations in Two Unknowns
Vectors
Vectors and Inner Products
Addition, Subtraction, and Scalar Multiplication
Linear versus Affine Functions
Norms and Unit Vectors
Orthogonality
The Canonical Basis
Linear Independence and Dimension
Matrices
Matrices and Their Transposes
Matrix Multiplication: Definition
Square, Symmetric, and Diagonal Matrices
The Identity Matrix
In = diag(1, 1, . . . , 1)
Exercise
Suppose that the two n × n matrices X and Y respectively satisfy:
1. AX = A for every m × n matrix A;
2. YB = B for every n × m matrix B.
Prove that X = Y = In .
(Hint: Consider each of the mn different cases where A (resp. B)
has exactly one non-zero element that is equal to 1.)
The results of the last two exercises together serve to prove:
Theorem
The identity matrix In is the unique n × n-matrix such that:
I In B = B for each n × m matrix B;
I AIn = A for each m × n matrix A.
Remark
The identity matrix In earns its name because it represents
a multiplicative identity on the “algebra” of all n × n matrices.
That is, In is the unique n × n-matrix with the property
that In A = AIn = A for every n × n-matrix A.