Cochran's Theorem

This is a very important theorem which allows us to decompose sums of squares into several
quadratic forms and identify their distributions and establish their independence. It can be used
to great advantage in Analysis of Variance and Regression. The importance of the terms in the
model is assessed via the distributions of their sums of squares.

Theorem 4..7

Given

, suppose that

is decomposed into

quadratic forms,

,
, where the rank of
is and the
are positive
semidefinite, then any one of the following conditions implies the other two.
(a)
the ranks of the

add to

(b)
each

(c)
all the

are mutually independent.

Proof We can write

That is,

(i)
Given (a) we will prove (b).

Select an arbitrary

, say

. If we make an orthogonal transformation

which diagonalizes

, we obtain from

(4.9)

Since the first and last terms are diagonal, so is the second. Since
therefore

of the leading diagonal elements of

zero. Thus the corresponding elements of

of

is

are

are

are

and since by (a) the rank

, the other elements of its leading diagonal are

corresponding elements of

and

. Hence from Theorem 4.4,

and the
and

is idempotent.
The same result holds for the other

and we have established (b) from (a).

(ii)
Given (b) we will prove (c).
(4.10)

and (b) implies that each

is idempotent (with rank

. There is an orthogonal matrix

such that

). Choose an arbitrary

, say

Premultiplying (4.10) by

Now each

and post-multiplying by

is idempotent and can't have any negative elements on its diagonal.

So

must have the first

rows

leading diagonal elements

, columns

and thus

, and submatrices for

and for rows

must have all elements

Since

, we have

, columns

. So

which can only be so if

was arbitrarily chosen, we have proved (c) from (b).

(iii)
Given (b) we will prove (a).
If (b) holds,
traces we have

has

eigenvalues

and

zero and since

, taking

(iv)
Given (c) we will prove (b).

If (c) holds, taking powers of

integers . Taking traces we have

, we have

for all positive

This can hold if and only if every eigenvalue of

is

. That is, if each

So we have proved (b) from (c).

A more general version of Cochran's Theorem is stated (without proof) in Theorem 4.8.

Theorem 4..8

Given

, suppose that
,

is decomposed into

, when

mutually independent and

if and only if

quadratic forms,

. Then

are
.

Example 4..2
We will consider again Example 4.4 from the point of view of Cochran's Theorem. Recall that
are iid

and

That is,

where

is defined in the usual way. Equivalently,

where and are defined in Example 4.1.

We can apply Cochran's Theorem, noting that we can easily show that (a) is true, since
,

and that

and

and

are independent.

. So we may conclude that