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Given a matrix $A \in R^{m \times n}$ and whose rank is $n$. I need to show $\| A(A^TA)^{-1}A^T\|_2 = 1$. Can any hint me the direction in which I should solve this problem. Should I use any decomposition of matrix $A$ to show the result?

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You can use either QR or SVD for decomposing your matrix. – J. M. Sep 6 '11 at 5:37
I suppose I should have asked: are you familiar with either of those decompositions? – J. M. Sep 6 '11 at 5:46
@J.M I learnt about eigen value decomposition but neither SVD nor QR decomposition – Learner Sep 6 '11 at 5:55
How about QR?$\;$ – J. M. Sep 6 '11 at 5:56
@j.M. Jus edited my previous comment – Learner Sep 6 '11 at 5:58
up vote 6 down vote accepted

I will explain it from a geometry perspective.

Let $P=A(A^TA)^{-1}A^T$. $P$ actually is an orthogonal projection matrix satisfying $P^2=P$ and $P^T=p$. Let $x\in\mathbb{R}^m$. Then $Px$ is the orthogonal projection of $x$ in the column space of $A$.

Consider an orthogonal basis $\{x_i\}_{i=1}^n$ of $\mathrm{Range}(A)$. Then $Px_i=x_i$. Consider an orthogonal basis $\{y_i\}_{i=1}^{m-n}$ of the orthogonal complement of $\mathrm{Range}(A)$, then $Py_i=0$.

So the matrix $P$ has $n$ eigenvalues as 1 and $m-n$ eigenvalues as 0. If $\|*\|_2=\sigma_{\max}(*)$, of course $\|P\|_2=1$.

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An argument without geometry goes like this:

As Shiyu said $P^2=P$ and hence, $\|P\| = \|P^2\|\leq \|P\|^2$ and therefor $1\leq \|P\|$. Moreover, $P^T=P$ and hence, $\|Px\|^2 = \langle Px,Px\rangle = \langle Px, x\rangle \leq \|Px\|\|x\|$ which gives $\|P\| \leq 1$.

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Let $H = A(A^TA)^{-1}A^T$. To see that $x\mapsto Hx$ (for $x\in\mathbb{R}^m$) is the orthogonal projection onto the column space of $A$, it suffices to prove two things:

  • If $x$ is in the column space of $A$, then $Hx=x$.
  • If $x$ is orthogonal to all columns of $A$, then $Hx=0$.

To prove the second statement, notice that if $x$ is orthogonal to all columns of $A$, then $A^T x = 0$. Therefore $A(A^TA)^{-1}A^Tx = 0$.

To prove the first statement, notice that $x$ is in the column space of $A$ iff $x = Aw$, for some $w$. Therefore $$ Hx = HAw = \Big(A(A^TA)^{-1}A^T\Big) Aw = A(A^TA)^{-1}\Big(A^T A\Big)w = Aw = x. $$

Now let $x$ be any vector in $\mathbb{R}^m$. Decompose $x$ into a component in the column space of $A$ and a component orthogonal to the column space of $A$. The component in the column space of $A$ is $u=Hx$. The component orthogonal to the column space of $A$ is $v=(I-H)x$. What then is $\|Hx\|_2$? It is $\|u\|_2 \le \|u+v\|_2 = \|x\|_2$. Since $\|Hx\|_2 \le \|x\|_2$, we have $\|H\|_2 \le 1$. But since $\|Hu\|_2= \|u\|_2$, we have $\|H\|_2\ge1$.

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BTW, it is conventional in statistics to use the letter $H$ for this matrix and to call it the "hat matrix" (hence the "$H$") because of the meaning it has in statistics. – Michael Hardy Sep 7 '11 at 14:07

I'm probably missing something, but since $(AB)^{-1}=B^{-1}A^{-1}$, why not just

$$A(A^TA)^{-1}A^T = A(A^{-1}(A^T)^{-1})A^T = (AA^{-1})((A^T)^{-1}A^T) = II = I$$ ?

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$A$ is usually not square, so... – J. M. Sep 6 '11 at 13:39
Oh, of course... – Henning Makholm Sep 6 '11 at 13:41
"Pure" mathematicians often tacitly assume matrices are square, it seems. – Michael Hardy Sep 6 '11 at 13:53

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