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4 - Eigendecomposition | Statistics

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5.4 - Eigendecomposition
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An eigenvector of a matrix A is a vector whose product when multiplied by the matrix is a scalar multiple of itself.
The corresponding multiplier is often denoted as lambda and referred to as an eigenvalue. In other words, if A is a
matrix, v is a eigenvector of A, and λ is the corresponding eigenvalue, then Av = λv . An example of an eigenvalue is
found below.

4 0 −1
⎛ ⎞

A = ⎜ 2 −2 3 ⎟
⎝ ⎠
7 5 0

1
⎛ ⎞

v = ⎜ 1 ⎟
⎝ ⎠
2

4 0 1 1 4∗1+0∗1+1∗2 6
⎛ ⎞ ⎛ ⎞ ⎛ ⎞ ⎛ ⎞

Av = ⎜ 2 −2 3 ⎟ ⎜ 1 ⎟ = ⎜ 2 ∗ 1 + −2 ∗ 1 + 3 ∗ 2 ⎟ = ⎜ 6 ⎟ = 6v
⎝ ⎠ ⎝ ⎠ ⎝ ⎠ ⎝ ⎠
5 7 0 2 5∗1+7∗1+0∗2 12

In the above example, v is an eigenvector of A, and the corresponding eigenvalue is 6. To find the eigenvalues/vectors
of a n × n square matrix, solve the characteristic equation of a matrix for the eigenvalues. This equation is

det(A − λI ) = 0

Where A is the matrix, λ is the eigenvalue, and I is an n × n identity matrix. For example, take

4 3
A = ( )
2 −1

The characteristic equation of A is listed below.

4 3 1 0 4−λ 3
det(A − λI ) = det(( )−λ( )) = det ( ) = 0
2 −1 0 1 2 −1 − λ

2
det(A − λI ) = (4 − λ)(−1 − λ) − 3 ∗ 2 = λ − 3λ − 10 = (λ + 2)(λ − 5) = 0

Therefore, one finds that the eigenvalues of A must be -2 and 5. Once the eigenvalues are found, one can then find the
corresponding eigenvectors from the definition of an eigenvector. For λ = 5 , simply set up the equation as below,
where the unknown eigenvector is v = (v , v ) . 1 2
′

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2/15/2018 5.4 - Eigendecomposition | Statistics

4 3 v1 v1
( )∗( ) = 5( )
2 −1 v2 v2

4v 1 + 3v 2 5v 1
( ) = ( )
2v 1 − 1v 2 5v 2

And then solve the resulting system of linear equations to get

3
v = ( )
1

For λ = −2, simply set up the equation as below, where the unknown eigenvector is w = (w 1, w2 ) .

4 3 w1 w1
( )∗( ) = −2 ( )
2 −1 w2 w2

4w1 + 3w2 −2w1

( ) = ( )
2w1 − 1w2 −2w2

And then solve the resulting system of linear equations to get

−1
w = ( )
2

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