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Linking with the SVD

We saw earlier that

\boldsymbol{X}^T\boldsymbol{X}=\boldsymbol{V}\boldsymbol{\Sigma}^T\boldsymbol{U}^T\boldsymbol{U}\boldsymbol{\Sigma}\boldsymbol{V}^T=\boldsymbol{V}\boldsymbol{\Sigma}^T\boldsymbol{\Sigma}\boldsymbol{V}^T.

Since the matrices here have dimension p\times p , with p corresponding to the singular values, we defined earlier the matrix

\boldsymbol{\Sigma}^T\boldsymbol{\Sigma} = \begin{bmatrix} \tilde{\boldsymbol{\Sigma}} & \boldsymbol{0}\\ \end{bmatrix}\begin{bmatrix} \tilde{\boldsymbol{\Sigma}} \\ \boldsymbol{0}\\ \end{bmatrix},

where the tilde-matrix \tilde{\boldsymbol{\Sigma}} is a matrix of dimension p\times p containing only the singular values \sigma_i , that is

\tilde{\boldsymbol{\Sigma}}=\begin{bmatrix} \sigma_0 & 0 & 0 & \dots & 0 & 0 \\ 0 & \sigma_1 & 0 & \dots & 0 & 0 \\ 0 & 0 & \sigma_2 & \dots & 0 & 0 \\ 0 & 0 & 0 & \dots & \sigma_{p-2} & 0 \\ 0 & 0 & 0 & \dots & 0 & \sigma_{p-1} \\ \end{bmatrix},

meaning we can write

\boldsymbol{X}^T\boldsymbol{X}=\boldsymbol{V}\tilde{\boldsymbol{\Sigma}}^2\boldsymbol{V}^T.

Multiplying from the right with \boldsymbol{V} (using the orthogonality of \boldsymbol{V} ) we get

\left(\boldsymbol{X}^T\boldsymbol{X}\right)\boldsymbol{V}=\boldsymbol{V}\tilde{\boldsymbol{\Sigma}}^2.