Q5. Suppose YON,(, oʻ1) and X is a n xp matrix of constants with rank p...
Suppose we have the full rank linear model y = XA+ Ewiun xp design matrix X, normal errors E N (0,0?Inxn). Let b be the least squares estimator of B. (C) Prove that (b-B)? XT X(6-8) o2 follows the x? distribution. Hint: Write Xb in terms of X, B and e. (d) Hence derive a 100(1 - a)% joint confidence region of ß given in notes (b - B) TXTX(b-)/po<Fa:pon-p, where Faip,n-p denotes the upper ath quantile of the Fpin-p...
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:...
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:...
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(Linear models) Suppose we have a vector of n observations Y (response), which has distribution Nn(XB.ση where x is an n × p matrix of known values (indepedent variables), which has full column rank p, and β is a p x 1 vector of unknown parameters. The least squares estimator of ß is 4. a. Determine the distribution of β. xB. Determine the distribution of Y b. Let Y...
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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...
Let βˆ = (X′X)−1X′y where y ∼
N(Xβ,σ2I), X is an n×(k+1) matrix, and β is a (k+1)×1 vector. Are
βˆ′A′[A(X′X)−1A′]−1Aβˆ and y′[I − X(X′X)−1X′]y independent?
Let B (X'X)-X'y where y ~ N(XB,02I), X is an n x (k+ 1) matrix, and B is a (k+1) x1 vector Are BA A (X'X)-A]-AB and yI - X(X'X)-xy independent?
Let B (X'X)-X'y where y ~ N(XB,02I), X is an n x (k+ 1) matrix, and B is a (k+1) x1 vector Are...
Let A be an n x p matrix with n p. (a) Show that r(AA) = r(A). (b) Show that I - A(ATA) AT is idempotent. (c) Show that r(1-A(ATAYA") = n-r(A)
Let A be an n x p matrix with n p. (a) Show that r(AA) = r(A). (b) Show that I - A(ATA) AT is idempotent. (c) Show that r(1-A(ATAYA") = n-r(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...
(6) Let A denote an m x n matrix. Prove that rank A < 1 if and only if A = BC. Where B is an m x 1 matrix and C is a 1 xn matrix. Solution (7) Do the following: (a) Use proof by induction to find a formula for for all positive integers n and for alld E R. Solution ... 2 for all positive (b) Find a closed formula for each entry of A" where A...
1. Consider the following linear model y Xp+ €, where Cor(e)-021 with ơ e R+ being unknown. an estimable function, where C is a full column rank matrix of rank s. Let T'y be the Let C. β BLUE for CB Write down an explicit expression for T. It should be only in terms of C, y and X. a. basic result do you use to justify your answer? V Cov(Ty). hypothesis is H CB o. (Ty- d), where b....