I'm reading through these lecture notes online http://www.pitt.edu/~wahed/teaching/2083/fall09/Lecture309.pdf
And on page 103 he notes the following theorem
If $X \sim N(\mu, \Sigma)$ and $A^T = A$, $B^T = B$, then $X^T A X \perp BX$ if and only if $B \Sigma A = 0$. (The assumption of symmetry is listed earlier in the text)
The proof is ommited unfortunately, but I want to understand why this is the case. In particular, if we assume that
- $X^T A X \perp X^TBX \iff B \Sigma A = 0$
- $ A X \perp BX \iff B \Sigma A = 0$
How can we prove the above theorem. In other words, if linear forms are independent of one another, and quadratic forms are independent of one another (given $B \Sigma A = 0$), can you then prove that linear forms are independent of quadratic forms?
Or is that not sufficient to prove the above theorem?
My attempt in one direction (incomplete) is to note that if $A$ is symmetric it can be decomposed into $A = QDQ^T$ where $D$ is diagonal and $Q$ orthogonal. Hence,
Let $B \Sigma A = 0$
Then by independence of linear forms we have $BX \perp AX$
$ \therefore BX \perp QDQ^T X$
$ \therefore BX \perp (QDQ^TX)^T QDQ^T X$
$\therefore BX \perp X^T QDQ^T QDQ^T X$
$\therefore BX \perp X^T QDDQ^T X$
Since $Q$ is orthogonal. But here I'm stuck, since $D$ is diagonal, so $D \neq D^2$ and so $QDDQ^T \neq A$.
As for the other direction, I have no idea where to begin.
Thoughts?