Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2011/p/p4/c/solution

Apply part (b) to the first column of , using an orthogonal reflection to zero all entries below the first. Next apply a Householder reflection to the trailing subvector of the second column, embedded as so it leaves the first row and the zeros already created intact. Continue similarly through the columns. If a trailing column subvector is zero, skip that step.
The product of these embedded orthogonal matrices sends to an upper triangular matrix . Write that product as ; its transpose is also orthogonal. Hence
The argument uses no inverse of and therefore includes singular matrices.

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