Abstract
This study of square matrices with positive entries is motivated by a previous contribution on exchange rates matrices. The sample space of these matrices is endowed with a group operation, the componentwise product or Hadamard product. Also an inner product, identified with the ordinary inner product of the componentwise logarithm of the matrices, completes the sample space to be a Euclidean space. This situation allows to introduce two orthogonal decompositions: the first one inspired on the independence of probability tables, and the second related to the reciprocal symmetry matrices whose transpose is the componentwise inverse. The combination of them results in an orthogonal decomposition into easily computable four parts. The merit of this decomposition is that, applied to exchange rate matrices, the four matrices of the decomposition admit an intuitive interpretation.
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Acknowledgements
Research by J.J. Egozcue was supported by the project Ministerio de Ciencia, Innovación y Universidades (Spain) (Ref: RTI2018-095518-B-C22, 2019-2021).
Wilfredo L. Maldonado would like to thank the CNPq of Brazil for financial support 306473/2018-6 and FAPDF for financial support 00193-00001833/2019-50.
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Appendix: Proofs of Theorems and Properties
Appendix: Proofs of Theorems and Properties
Theorem 2
(Subspace of independent matrices) The set \(\mathbb {P}_\mathrm {ind}^D\) of square matrices with positive entries is a 2n-dimensional subspace of \(\mathbb {P}^D\).
Proof
For any A and B in \(\mathbb {P}_\mathrm {ind}^D\) and \(\alpha \in \mathbb {R}\) it should be shown that \(C=(\alpha \odot A)\oplus B\) is in \(\mathbb {P}_\mathrm {ind}^D\), that is, \(\mathbb {P}_\mathrm {ind}^D\) is closed under the vector space operations \(\oplus \), \(\odot \). Let us assume that \(A=U_c\oplus U_r^\top \) and \(B=W_c\oplus W_r^\top \). Then
where the \(\alpha \) powers operate componentwise and maintain positiveness as well as the product operations indicated by \(\oplus \). Since \(\oplus \) is commutative, reordering of terms yields
where each of two terms in brackets have all columns and rows, respectively, equal, thus showing that \(C\in \mathbb {P}_\mathrm {ind}^D\). The space of marginal column matrices like \(U_c\) is n; they are generated by vectors \(\mathbf {u}_c\) or their logarithmic coordinates \(\tilde{\mathbf {u}}_c=\log \mathbf {u}_c\) which form an n-dimensional subspace of \(\mathbb {R}^n\). The same is valid for \(U_r\). Since \(U_c\) and \(U_r^\top \) are linearly independent in \(\mathbb {P}^D\), the generated space of matrices in \(\mathbb {P}_\mathrm {ind}^D\) is 2n. \(\square \)
Theorem 3
(Closest independent positive matrix) Let A be a matrix with positive entries, \(A\in \mathbb {P}^D\), \(D=n^2\). The orthogonal projection of A onto the subspace of independent matrices \(\mathbb {P}^D_\mathrm {ind}\) is \(A_\mathrm {ind}\) such that its components are
where \(\mathbf {a}^j\), \(\mathbf {a}_i\) are the columns and rows of A, respectively.
Proof
This proof follows the way used in Maldonado et al. (2019). The statement is equivalent to find \(A_\mathrm {ind}\in \mathbb {P}_\mathrm {ind}^D\) that minimizes \(\mathrm {d}_+^2(A,A_\mathrm {ind})\). In order to carry out such a minimization, let \(\mathbf {u}_c=(u_{c1},u_{c2},\dots ,u_{cn})^\top \), \(\mathbf {u}_r=(u_{r1},u_{r2},\dots ,u_{rn})^\top \) vectors with positive entries such that \(A_\mathrm {ind}=\mathbf {u}_c \mathbf {u}_r^\top \). Then, they minimize
Taking derivatives with respect to \(u_{ci}\) and \(u_{rj}\), \(i,j=1,2,\dots ,n\) and equating to zero, we find
Rearranging these 2n equations and taking exponentials yields
where \(\mathrm {g_m}\) denotes the geometric mean over the arguments; \(\mathbf {a}_i\), \(\mathbf {a}^j\) the rows and columns of A, respectively. Moreover, adding all equations in (6), we conclude that \(\mathrm {g_m}(\mathbf {u}_c) \mathrm {g_m}(\mathbf {u}_r)= \mathrm {g_m}(A)\). Combining the two results,
what proves the statement. Note that the factorization \(A_\mathrm {ind}=\mathbf {u}_c \mathbf {u}_r^\top \) is not unique. \(\square \)
Property 2
Let \(A\in \mathbb {P}^D\) be a positive matrix with orthogonal decomposition \(A=A_\mathrm {ind}\oplus A_\mathrm {int}\) with \(A_\mathrm {ind}\in \mathbb {P}_\mathrm {ind}^D\), \(A_\mathrm {int}\in \mathbb {P}_\mathrm {int}^D\). Then, the rank of \(A_\mathrm {ind}\) is one and the rank of \(A_\mathrm {int}\) is equal to the rank of A, that is \(\mathrm {rank}(A_\mathrm {ind})=1\) and \(\mathrm {rank}(A_\mathrm {int})=\mathrm {rank}(A)\).
Proof
The rank of \(A_\mathrm {ind}\) is one since it is the outer product of two vectors, \(A_\mathrm {ind}= \mathbf {u}_c \mathbf {u}_r^\top \) due to Definition 2. Let \(\mathbf {a}^j\), \(j=1,2,\dots ,n\), be the columns of \(A_\mathrm {int}\). If there is a linear combination \(\sum _j \alpha _j \mathbf {a}^j =\boldsymbol{0}\) for some non null real \(\alpha _i\)’s, after multiplication of \(\mathbf {a}^j\) and \(\mathbf {u}_r\) componentwise, the ith-row is \(\sum _j \alpha _j a_i^j u_{ri}=0\) thus maintaining the combination null. The existence of the null linear combination of columns implies there exist another null linear combination of rows, which remains null after multiplication componentwise by \(\mathbf {u}_c\). This means that after the matrix perturbation \(A=A_\mathrm {ind}\oplus A_\mathrm {int}\), the possible null linear combinations of rows or columns remain as they were, null or non null; therefore, the rank is maintained after perturbation by \(A_\mathrm {ind}\). This property is a strong version of the inequality \(\mathrm {rank}(A_\mathrm {ind}\oplus A_\mathrm {int})\le \mathrm {rank}(A_\mathrm {ind})\cdot \mathrm {rank}(A_\mathrm {int})\) (Horn and Johnson 1985), in which \(\mathrm {rank}(A_\mathrm {ind})=1\), and the equal sign is valid. \(\square \)
Property 3
Let \(A=A_\mathrm {ind}\oplus A_\mathrm {int}\) be the orthogonal decompositions of A and denote by \(\Vert \cdot \Vert _+\) the norm in \(\mathbb {P}^D\). Then,
(a) The decomposition is unique;
(b) \(\Vert A\Vert _+^2=\Vert A_\mathrm {ind}\Vert _+^2 + \Vert A_\mathrm {int}\Vert _+^2\).
Proof
The uniqueness of orthogonal decomposition into a subspace and its orthogonal complement and the Pythagorean theorem are standard properties of Hilbert spaces and, particularly, Euclidean spaces. \(\square \)
Property 4
(Logarithmic coordinates in \(\mathbb {P}_\mathrm {ind}^D\) and \(\mathbb {P}_\mathrm {int}^D\)) Let \(A_\mathrm {ind}\in \mathbb {P}_\mathrm {ind}^D\) and \(A_\mathrm {int}\in \mathbb {P}_\mathrm {int}^D\) such that \(A=A_\mathrm {ind}\oplus A_\mathrm {int}\). Then, the respective logarithmic coordinates \(\tilde{A}_\mathrm {ind}=\log (A_\mathrm {ind})\), \(\tilde{A}_\mathrm {int}=\log (A_\mathrm {int})\) satisfy the following:
(a) \(\tilde{A}_\mathrm {ind}\) is obtained from the average coordinates of rows and columns (marginals) of \(\tilde{A}\),
(b) The (arithmetic) marginals of \(\tilde{A}_\mathrm {int}\) are null,
(c) The logarithmic coordinates of the interaction part are obtained by double centering of \(\tilde{A}\),
where \(I_n\) denotes the identity matrix of n rows.
Proof
(a) \(A\in \mathbb {P}_\mathrm {ind}^D\), \(A = (\mathbf {u}_c\boldsymbol{1}^\top )\oplus (\mathbf {u}_r^\top \boldsymbol{1})\) due to Definition 2. Taking \(\log \) componentwise, \(\log (A)=\tilde{A}\), products in \(\oplus \) become sums and \(\log (\mathbf {u}_c\boldsymbol{1}^\top ) = \tilde{\mathbf {u}}_c\boldsymbol{1}^\top \) and \(\log (\mathbf {u}_r\boldsymbol{1}^\top ) = \tilde{\mathbf {u}}_r\boldsymbol{1}^\top \). The expressions of \(\tilde{\mathbf {u}}_r\) and \(\tilde{\mathbf {u}}_c\) are obtained from Theorem 3 and taking logarithms.
(b) From decomposition \(A=A_\mathrm {ind}\oplus A_\mathrm {int}\), taking logarithmic coordinates \(\tilde{A}_\mathrm {int}=\tilde{A} - \tilde{A}_\mathrm {ind}\). Computing the arithmetic marginals of both sides of the latter equality and taking into account the expressions of \(\mathbf {u}_c\), \(\mathbf {u}_r\) in (a), the desired result holds. Note that this means that the arithmetic marginals of \(\tilde{A}\) and \(\tilde{A}_\mathrm {ind}\) are equal.
(c) The decomposition \(A=A_\mathrm {ind}\oplus A_\mathrm {int}\) in logarithmic coordinates implies \(\tilde{A}_\mathrm {int}= \tilde{A} - \tilde{A}_\mathrm {ind}\). Substituting the expressions of \(\tilde{A}_\mathrm {ind}\), \(\tilde{\mathbf {u}}_c\) and \(\tilde{\mathbf {u}}_r\) given in part (a) of this property, and after some tedious computation, the double centering expression is obtained. \(\square \)
Theorem 4
(Subspace of reciprocal matrices) The set of reciprocal matrices in \(\mathbb {P}^D\) is a \((n(n-1)/2)\)-dimensional subspace of \(\mathbb {P}^D\), denoted \(\mathbb {P}_\mathrm {rec}^D\).
Proof
The statement is equivalent to prove that anti-symmetric matrices are a \((n(n-1)/2)\)-dimensional subspace of square matrices equipped with the ordinary sum of matrices and the multiplication by real scalars. This is, if \(\tilde{A}\) and \(\tilde{B}\) are anti-symmetric and \(\alpha \in \mathbb {R}\) then \(\tilde{C}=\alpha \tilde{A}+\tilde{B}\) is also anti-symmetric. In fact, for any entry of \(\tilde{C}\), \(\tilde{c}_{ij}= \alpha \cdot \tilde{a}_{ij} + \tilde{b}_{ij}\). Using the anti-symmetry properties of \(\tilde{A}\) and \(\tilde{B}\), it yields
Therefore, \(\tilde{C}\) is anti-symmetric and \(C\in \mathbb {P}_\mathrm {rec}^D\). The dimension of the subspace is equal to the number of free logarithmic coordinates, for instance those in the lower triangle of the matrix, excluding the diagonal, that is \(n(n-1)/2\). \(\square \)
Theorem 5
(orthogonal decomposition) The space of square positive matrices \(\mathbb {P}^D\), \(D=n^2\), is uniquely decomposed into the four mutually orthogonal subspaces \(\mathbb {P}_\mathrm {rind}^D\), \(\mathbb {P}_\mathrm {rint}^D\), \(\mathbb {P}_\mathrm {sind}^D\), \(\mathbb {P}_\mathrm {sint}^D\) whose dimensions are \(\mathrm {dim}(\mathbb {P}_\mathrm {rind}^D)=n\), \(\mathrm {dim}(\mathbb {P}_\mathrm {sind}^D)=n\), \(\mathrm {dim}(\mathbb {P}_\mathrm {rint}^D)=n(n-3)/2\), \(\mathrm {dim}(\mathbb {P}_\mathrm {sint}^D)=n(n-1)/2\). Any matrix \(A\in \mathbb {P}^D\) is expressed in a unique way as
In logarithmic coordinates, the decomposition of \(A\in \mathbb {P}^D\) is
and
Proof
The orthogonality of the four subspaces is a consequence of the two orthogonal decompositions. Consider \(A\in \mathbb {P}^D\) and obtain its decomposition as in Eq. (3). Take \(A_\mathrm {rind}\); it is orthogonal to \(A_\mathrm {rint}\) due to orthogonal decomposition in Corollary 1. Additionally, it is orthogonal to \(A_\mathrm {sind}\) and \(A_\mathrm {sint}\) due to orthogonality with the subspace \(\mathbb {P}_\mathrm {sym}^D\). Similarly, this reasoning can be repeated for the four components of the decomposition. The uniqueness statement comes from the uniqueness of orthogonal decompositions.
The dimension of the spaces can be studied using logarithmic coordinates. The \(\mathbb {P}_\mathrm {rec}^D \cup \mathbb {P}_\mathrm {sym}^D=\mathbb {P}^D\) whose dimension is \(D=n^2\). Logarithmic (orthogonal) coordinates that determine \(\mathbb {P}_\mathrm {rec}^D\) can be those in the lower triangle, excluding the diagonal, as they determine the upper triangle, which are the anti-symmetric values, and the coordinates in the diagonal are null. Therefore, the dimension of \(\mathbb {P}_\mathrm {rec}^D\) is \(n(n-1)/2\). Since matrices in \(\mathbb {P}_\mathrm {rind}^D\) can be constructed from a single n-vector, the dimension is n and the dimension of \(\mathbb {P}_\mathrm {rint}^D\) is \(n(n-1)/2-n\). The dimension of \(\mathbb {P}_\mathrm {sym}^D\) is \(n(n+1)/2\) since the logarithmic coordinates needed to reconstruct the symmetric matrix is the lower triangle including the diagonal. The dimension of \(\mathbb {P}_\mathrm {sind}^D\) is n as these matrices are represented as two equal n-vectors and its marginals. Then, the dimension of \(\mathbb {P}_\mathrm {sint}^D\) is \(n(n+1)/2-n\).
The fact that logarithmic coordinates of \(A_\mathrm {rec}\in \mathbb {P}^D_\mathrm {rec}\) are anti-symmetric leads to decompose \(\tilde{A}\) into symmetric and anti-symmetric components, that is a unique decomposition, and \(\tilde{A}_\mathrm {rec}\), \(\tilde{A}_\mathrm {sym}\) are identified to the anti-symmetric and symmetric parts, respectively. As separation of interaction components corresponds to a double centering, \(\tilde{A}_\mathrm {rint}\), \(\tilde{A}_\mathrm {sint}\) are so obtained and the subtracted matrices are \(\tilde{A}_\mathrm {rind}\), \(\tilde{A}_\mathrm {sind}\). \(\square \)
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Egozcue, J.J., Maldonado, W.L. (2021). An Interpretable Orthogonal Decomposition of Positive Square Matrices. In: Filzmoser, P., Hron, K., Martín-Fernández, J.A., Palarea-Albaladejo, J. (eds) Advances in Compositional Data Analysis. Springer, Cham. https://doi.org/10.1007/978-3-030-71175-7_1
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