Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2008/p/4/a/solution

A real square QR factorization is with and upper triangular. For an invertible matrix it can be made unique by requiring positive diagonal entries of .
If is orthogonal, then is orthogonal as well. An orthogonal upper triangular matrix is diagonal with entries : its first column has just its first entry, which must have modulus one, and orthogonality then zeros the rest of the first row; repeat inductively on the lower block. Thus
and under the positive-diagonal convention , .

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