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Definition · Quantitative Finance

Projection Matrix

A short reference on projection matrices and why idempotence implies projection.

The matrix PP is a projection matrix if PP=PPP=P. Why would this mean the matrix is a projection? Well if Px=yP\pmb x = \pmb y and PP is a projection matrix then PPx=Px=yPP\pmb x = P\pmb x = \pmb y. Or written another way PPx=Py=yPP\pmb x= P\pmb y = \pmb y. So a projection matrix moves a vector to a location and after it’s been moved to that location, moving it to that location again doesn’t do anything. Hence if a linear transformation defined by PP is idempotent (i.e. PP=PPP = P) then it is a projection matrix.