Let $\Sigma_W$ be a $D\times D$ matrix. Let $X$ also be a $N\times q$ matrix. I am trying to solve an equation for $\Sigma_W$. However, there are Kronecker products involved and I do not really know how to handle this.
Here is the equation:
($I_q \otimes \Sigma_W)^{-1} = \frac{(I_D \otimes X^T)(I_D \otimes X)}{\sigma^2} + (\tau^2I_{qD})^{-1}$
I assume there must be a way to get rid of the identity matrices but I don't know much about Kronecker products.
Can someone explain how this could be solved for $\Sigma_W^{-1}$, if that is possible?
Best Answer
Recall the rule for a mixed Kronecker-matrix product $$(A\otimes B)(C\otimes D) = (AC)\otimes(BD)$$ assuming the matrices have compatible dimensions.
Applying this to the current problem, I get $$\eqalign{ (I_D\otimes X^T)(I_D\otimes X) &= I_D\otimes X^TX \cr I_{qD} &= I_D\otimes I_q \cr\cr (I_q\otimes\Sigma_W)^{-1} &= \sigma^{-2}I_D\otimes X^TX + \tau^{-2}I_{qD} \cr I_q\otimes\Sigma_W^{-1} &= I_D\otimes\bigg(\frac{X^TX}{\sigma^2}+\frac{I_q}{\tau^2}\bigg) \cr }$$ The first $D\times D$ block on each side of the equality is $$\Sigma_W^{-1}=\frac{X^TX}{\sigma^2}+\frac{I_q}{\tau^2}$$