I'd like to prove that the Matrix L:=MTM is invertible and determine its inverse (in dependence of A and B).
M:=(AB0q×pIq) and A∈Kp×p,B∈Kp×q.
Further is given that the matrix A has rank p.
I tried to form L=(ATAATBBTABTB+Iq) into the Unity Blockmatrix using elementary row operations.
Since A has a full rank it must be invertible and because A is a p×p matrix, its transpose must be invertible too, with this knowledge its fairly easy to get a21=0 and I'm stuck in getting a12=0 since I know nothing about the invertibility of B.
Are there any other ways to solve this problem?
Answer
We can compute the inverse of M with "row-operations" as follows:
[ABI00I0I]→[IA−1BA−100I0I]→[I0A−1−A−1B0I0I]
So that
M−1=(A−1−A−1B0I)
From there, we can compute
(MTM)−1=M−1(MT)−1=M−1(M−1)T=(A−1−A−1B0I)(A−1−A−1B0I)T=(A−1−A−1B0I)((A−1)T0−BT(A−1)TI)T=(A−1(A−1)T+A−1BBT(A−1)T−A−1B−BT(A−1)TI)=((ATA)−1+(A−1B)(A−1B)T−A−1B−(A−1B)TI)
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