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Iosif Pinelis
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Positive semidefinite ordering for covariance matrices

Suppose that X and Z are matrices with the same number of rows. Let $$ D = \left[\begin{array}{cc} X' X & X'Z \\ Z'X & Z'Z \end{array} \right]^{-1} - \left[\begin{array}{cc} (X' X)^{-1} & 0 \\ 0 & 0 \end{array} \right],$$ where all inverses are assumed to exist and the zeros represent zero matrices of suitable dimensions. How can we prove that $D$ is positive semidefinite?

Ben Golub
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