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Aspects of Multivariate Statistical Theory (ROBB J. MUIRHEAD) 定理2.1.14 (Qiita練習)

Last updated at Posted at 2022-03-30

定理$2.1.13$から,

(d Z)=\prod_{i=1}^{m} t_{i i}^{n-i}(d T)\left(H_{1}^{\prime} d H_{1}\right)

また,
$A=Z^{\prime} Z=T^{\prime} T$であるから,定理$2.1.9$を用いて,

    (d A)=2^{m} \prod_{i=1}^{m} t_{i}^{m+1-i}(d T)

となる.この式を$(d T)$について解くと,

    (d T)=2^{-m} \prod_{i=1}^{m} t_{i i}^{-m-1+i}(d A)

この$(d T)$を代入すると,

\begin{aligned}
(d Z) &= \prod_{i=1}^{m} t_{i i}^{n-i}2^{-m} \prod_{i=1}^{m} t_{i i}^{-m-1+i}(d A)\left(H_{1}^{\prime} d H_{1}\right) \\
&=2^{-m} \prod_{i=1}^{m} t_{i i}^{n-m-1}(d A)\left(H_{1}^{\prime} d H_{1}\right) \\
&=2^{-m}(\operatorname{det} A)^{(n-m-1) / 2}(d A)\left(H_{1}^{\prime} d H_{1}\right) \\

\end{aligned}

このとき,$T$は上三角行列だったから,行列式は対角成分の積になることがわかるので

\Pi_{i=1}^{m} t_{ii}=\operatorname{det}T=\left(\operatorname{det}T^{\prime}T\right)^{1/2}=(\operatorname{det} A)^{1 / 2}

が成り立つことを利用した.

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