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In the context of multiple regression, define the n X n matrix M =- X(X'X)-'X'. (i)...
In the context of multiple regression, define the n X n matrix M =- X(X'X)-'X'. (i)...
In the context of multiple regression, define the n X n matrix M =- X(X'X)-'X'. (i) Show that M is symmetric and idempotent. (ii) Prove that m, the diagonals of the matrix M, satisfy 0 sm s 1 for t = 1, 2, ..., n. (iii) Consider the linear model y = XB + u satisfies the Gauss-Markov Assumptions. Let û be the vector of OLS residuals. Show that Eſûù' x) = oʻM (iv) Conclude that while the errors {u:...
Q5. Suppose YON,(, oʻ1) and X is a n xp matrix of constants with rank p...
Q5. Suppose YON,(, oʻ1) and X is a n xp matrix of constants with rank p (<n). a) Show that A = X(X'X)'X' and I - A are idempotent and find the rank of each. b) If u is linear combination of columns of X i.e. u=Xb for some b find E(Y'AY) and E(Y'(I - A)Y) where A is an in (a) c) Find the distribution of Y'AY/? & Y'(I - A)Y/02 d) Show that Y'AY & Y'(I – A)Y...
Problem 2.2 n and let X ε Rnxp be a full-rank matrix, and Assume p Note that H is a square n × n ...
Please show all work in READ-ABLE way. Thank you so much in
advance.
Problem 2.2 n and let X ε Rnxp be a full-rank matrix, and Assume p Note that H is a square n × n matrix. This problem is devoted to understanding the properties H Any matrix that satisfies conditions in (a) is an orthogonal projection matriz. In this problem, we will verify this directly for the H given in (1). Let V - Im(X). (b) Show that...
Suppose A is a symmetric n x n matrix with n positive eigenvalues. Explain why an...
Suppose A is a symmetric n x n matrix with n positive eigenvalues. Explain why an orthogonal diagonalization A = PDPT of A is also a singular value decomposition of A, with U = P =V and E = D. [Hint: First, explain why this is equivalent to showing the singular values of A are exactly the eigenvalues of A. Then show this is the case with these assumptions on A.]
Consider the n × n matrix M = In-Z(Z,Z)-1Z', where Z is n × K. i. Show that M is idempotent and find its rank. ii....
Consider the n × n matrix M = In-Z(Z,Z)-1Z', where Z is n × K. i. Show that M is idempotent and find its rank. ii. In case Z is just the n x 1 unit vector, i.e. Z- (1,....1)', what form does the vector Mz take? Note that x is any n- dimensional column vector
Consider the n × n matrix M = In-Z(Z,Z)-1Z', where Z is n × K. i. Show that M is idempotent and find its...
Show that, given an m x n matrix A, there exists a unique matrix B satisfying...
Show that, given an m x n matrix A, there exists a unique matrix B satisfying the following properties: 1. AB and BA are symmetric. 2. ABA = A 3. BAB = B
Exercise 1 Answer the following questions: a. Consider the multiple regression model y-Xe subject to a set of linear constraints of the form Cß-γ, where C is mx (k + 1) matrix. The Gauss-Markov condi...
Exercise 1 Answer the following questions: a. Consider the multiple regression model y-Xe subject to a set of linear constraints of the form Cß-γ, where C is mx (k + 1) matrix. The Gauss-Markov conditions hold and also ε ~ N(0, σ21) Is it true that we can test the hypothesis C9-γ using a k¿SSRfillm d SKreducedmodel Please explain b. Refer to question (a). Let H and Hi be the hat matrices of the full and reduced model respectively. Show...
(a) Suppose we want to solve the linear vector-matrix equation Ax b for the vector x. Show that the Gauss elimination algorithm may be written bAbm,B where m 1, This process produces a matrix equa...
(a) Suppose we want to solve the linear vector-matrix equation Ax b for the vector x. Show that the Gauss elimination algorithm may be written bAbm,B where m 1, This process produces a matrix equation of the form Ux = g , in which matrix U is an upper-triangular matrix. Show that the solution vector x may be obtained by a back-substitution algorithm, in the form Jekel (b) Iterative methods for solving Ax-b work by splitting matrix A into two...
Problem 4. Let A, B e Rmxn. We say that A is equivalent to B if there exist an invertible m x m n x n matrix Q such tha...
Problem 4. Let A, B e Rmxn. We say that A is equivalent to B if there exist an invertible m x m n x n matrix Q such that PAQ = B. matrix P and an invertible (a) Prove that the relation "A is equivalent to B" is reflexive, symmetric, and transitive; i.e., prove that: (i) for all A E Rmx", A is equivalent to A; (ii) for all A, B e Rmxn, if A is equivalent to B...
(a) Let A be a real n x m matrix. (i) State what conditions on n...
(a) Let A be a real n x m matrix. (i) State what conditions on n and m, if any, are needed such that the matrix AAT exists. Justify your statement. (ii) Assuming that the matrix AA exists, find its size. (iii) Assuming that the matrix AAT exists, prove using index notation that all diagonal elements of AAT are positive or equal to zero. (iv) Let 12 5 -3 A= 3-4 2 Calculate (AAT) -- (show all your working). 2)
In the context of multiple regression, define the n X n matrix M =- X(X'X)-'X'. (i) Show that M is symmetric and idempotent. (ii) Prove that m, the diagonals of the matrix M, satisfy 0 sm s 1 for t = 1, 2, ..., n. (iii) Consider the linear model y = XB + u satisfies the Gauss-Markov Assumptions. Let û be the vector of OLS residuals. Show that Eſûù' x) = oʻM (iv) Conclude that while the errors {u:...
Q5. Suppose YON,(, oʻ1) and X is a n xp matrix of constants with rank p (<n). a) Show that A = X(X'X)'X' and I - A are idempotent and find the rank of each. b) If u is linear combination of columns of X i.e. u=Xb for some b find E(Y'AY) and E(Y'(I - A)Y) where A is an in (a) c) Find the distribution of Y'AY/? & Y'(I - A)Y/02 d) Show that Y'AY & Y'(I – A)Y...
Please show all work in READ-ABLE way. Thank you so much in
advance.
Problem 2.2 n and let X ε Rnxp be a full-rank matrix, and Assume p Note that H is a square n × n matrix. This problem is devoted to understanding the properties H Any matrix that satisfies conditions in (a) is an orthogonal projection matriz. In this problem, we will verify this directly for the H given in (1). Let V - Im(X). (b) Show that...
Suppose A is a symmetric n x n matrix with n positive eigenvalues. Explain why an orthogonal diagonalization A = PDPT of A is also a singular value decomposition of A, with U = P =V and E = D. [Hint: First, explain why this is equivalent to showing the singular values of A are exactly the eigenvalues of A. Then show this is the case with these assumptions on A.]
Consider the n × n matrix M = In-Z(Z,Z)-1Z', where Z is n × K. i. Show that M is idempotent and find its rank. ii. In case Z is just the n x 1 unit vector, i.e. Z- (1,....1)', what form does the vector Mz take? Note that x is any n- dimensional column vector
Consider the n × n matrix M = In-Z(Z,Z)-1Z', where Z is n × K. i. Show that M is idempotent and find its...
Show that, given an m x n matrix A, there exists a unique matrix B satisfying the following properties: 1. AB and BA are symmetric. 2. ABA = A 3. BAB = B
Exercise 1 Answer the following questions: a. Consider the multiple regression model y-Xe subject to a set of linear constraints of the form Cß-γ, where C is mx (k + 1) matrix. The Gauss-Markov conditions hold and also ε ~ N(0, σ21) Is it true that we can test the hypothesis C9-γ using a k¿SSRfillm d SKreducedmodel Please explain b. Refer to question (a). Let H and Hi be the hat matrices of the full and reduced model respectively. Show...
(a) Suppose we want to solve the linear vector-matrix equation Ax b for the vector x. Show that the Gauss elimination algorithm may be written bAbm,B where m 1, This process produces a matrix equation of the form Ux = g , in which matrix U is an upper-triangular matrix. Show that the solution vector x may be obtained by a back-substitution algorithm, in the form Jekel (b) Iterative methods for solving Ax-b work by splitting matrix A into two...
Problem 4. Let A, B e Rmxn. We say that A is equivalent to B if there exist an invertible m x m n x n matrix Q such that PAQ = B. matrix P and an invertible (a) Prove that the relation "A is equivalent to B" is reflexive, symmetric, and transitive; i.e., prove that: (i) for all A E Rmx", A is equivalent to A; (ii) for all A, B e Rmxn, if A is equivalent to B...
(a) Let A be a real n x m matrix. (i) State what conditions on n and m, if any, are needed such that the matrix AAT exists. Justify your statement. (ii) Assuming that the matrix AA exists, find its size. (iii) Assuming that the matrix AAT exists, prove using index notation that all diagonal elements of AAT are positive or equal to zero. (iv) Let 12 5 -3 A= 3-4 2 Calculate (AAT) -- (show all your working). 2)
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