Why does this expression simplify as such?
$begingroup$
I'm reading through my professor's lecture notes on the multiple linear regression model and at one point he writes the following:
$$E[(b-beta)e']=E[(X'X)^{-1}epsilonepsilon'M_{[X]}]. $$
In the above equation, $b$, $beta$, $e$, and $epsilon$ are all vectors, $X$ is a regressor matrix and $M$ is the residual maker matrix. In general, I have no idea why these expressions are equivalent, and I'm particularly confused at how the $e$ vector disappears and the $epsilon$ vector appears.
regression multiple-regression linear-model residuals
$endgroup$
add a comment |
$begingroup$
I'm reading through my professor's lecture notes on the multiple linear regression model and at one point he writes the following:
$$E[(b-beta)e']=E[(X'X)^{-1}epsilonepsilon'M_{[X]}]. $$
In the above equation, $b$, $beta$, $e$, and $epsilon$ are all vectors, $X$ is a regressor matrix and $M$ is the residual maker matrix. In general, I have no idea why these expressions are equivalent, and I'm particularly confused at how the $e$ vector disappears and the $epsilon$ vector appears.
regression multiple-regression linear-model residuals
$endgroup$
add a comment |
$begingroup$
I'm reading through my professor's lecture notes on the multiple linear regression model and at one point he writes the following:
$$E[(b-beta)e']=E[(X'X)^{-1}epsilonepsilon'M_{[X]}]. $$
In the above equation, $b$, $beta$, $e$, and $epsilon$ are all vectors, $X$ is a regressor matrix and $M$ is the residual maker matrix. In general, I have no idea why these expressions are equivalent, and I'm particularly confused at how the $e$ vector disappears and the $epsilon$ vector appears.
regression multiple-regression linear-model residuals
$endgroup$
I'm reading through my professor's lecture notes on the multiple linear regression model and at one point he writes the following:
$$E[(b-beta)e']=E[(X'X)^{-1}epsilonepsilon'M_{[X]}]. $$
In the above equation, $b$, $beta$, $e$, and $epsilon$ are all vectors, $X$ is a regressor matrix and $M$ is the residual maker matrix. In general, I have no idea why these expressions are equivalent, and I'm particularly confused at how the $e$ vector disappears and the $epsilon$ vector appears.
regression multiple-regression linear-model residuals
regression multiple-regression linear-model residuals
edited 3 hours ago
Benjamin Christoffersen
1,264519
1,264519
asked 4 hours ago
DavidDavid
24311
24311
add a comment |
add a comment |
2 Answers
2
active
oldest
votes
$begingroup$
I am assuming $b$ is the OLS estimate of $beta$ and $e$ is the corresponding estimate of $epsilon$. Also I believe you have a typo above in your expression, as there should be $X'$ in front of $epsilon epsilon'$ and behind $(X'X)^{-1}$.
Start with the definition of $b$:
$$b=(X'X)^{-1}X'Y.$$
Replacing $Y$ with $Xbeta+epsilon$ in our expression above, we get
$$b=(X'X)^{-1}X'(Xbeta+epsilon)=beta+(X'X)^{-1}X'epsilon.$$
It follows that
$$b-beta = (X'X)^{-1}X'epsilon$$
Now turn to the defintion of $e$:
$$e=Y-hat{Y}=Y-Xb=Y-X(X'X)^{-1}X'Y.$$
Notice $X(X'X)^{-1}X'$ is the projection matrix for $X$, which we will denote with $P_{[X]}$.
Replacing this in our expression for $e,$ we get
$$e=(I-P_{[X]})Y=M_{[X]}Y.$$
Replacing $Y$ in the expression above with $Xbeta+epsilon$, we get
$$e=M_{[X]}(Xbeta+epsilon)=M_{[X]}epsilon,$$
since $M_{[X]}X$ is a matrix of zeros.
Post-multiplying $b-beta$ with $e'$, we get
$$(b-beta)e'=(X'X)^{-1}X'epsilon epsilon' M_{[X]},$$
since $e'=epsilon'M_{[X]}.$
$endgroup$
$begingroup$
Ah. The key thing I was missing was what you wrote in the last line.
$endgroup$
– David
2 hours ago
add a comment |
$begingroup$
Assuming that the coefficient estimator $b$ is calculated by OLS estimation, you have:
$$begin{equation} begin{aligned}
b-beta
&= (X'X)^{-1} X'y - beta \[6pt]
&= (X'X)^{-1} X'(X beta + epsilon)- beta \[6pt]
&= (X'X)^{-1} (X'X) beta + (X'X)^{-1} X' epsilon - beta \[6pt]
&= beta + (X'X)^{-1} X' epsilon - beta \[6pt]
&= (X'X)^{-1} X' epsilon. \[6pt]
end{aligned} end{equation}$$
Presumably $e$ is the residual vector (different to the error vector $epsilon$) so we have $e = M_{[X]} Y = M_{[X]} epsilon$. Substituting this vector gives:
$$begin{equation} begin{aligned}
(b-beta) e'
&= (X'X)^{-1} X' epsilon (M_{[X]} epsilon)' \[6pt]
&= (X'X)^{-1} X' epsilon epsilon' M_{[X]}' \[6pt]
&= (X'X)^{-1} X' epsilon epsilon' M_{[X]}. \[6pt]
end{aligned} end{equation}$$
(The last step follows from the fact that $M_{[X]}$ is a symmetric matrix.) So the expression given by your professor is missing the $X'$ term.
$endgroup$
2
$begingroup$
Nice, I think we both must have been typing our answers at the same time. I'm glad you also found the mistake.
$endgroup$
– dlnB
3 hours ago
1
$begingroup$
@dlnb: Jinx! Buy me a coke!
$endgroup$
– Ben
3 hours ago
add a comment |
Your Answer
StackExchange.ifUsing("editor", function () {
return StackExchange.using("mathjaxEditing", function () {
StackExchange.MarkdownEditor.creationCallbacks.add(function (editor, postfix) {
StackExchange.mathjaxEditing.prepareWmdForMathJax(editor, postfix, [["$", "$"], ["\\(","\\)"]]);
});
});
}, "mathjax-editing");
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "65"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: false,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: null,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fstats.stackexchange.com%2fquestions%2f398797%2fwhy-does-this-expression-simplify-as-such%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
I am assuming $b$ is the OLS estimate of $beta$ and $e$ is the corresponding estimate of $epsilon$. Also I believe you have a typo above in your expression, as there should be $X'$ in front of $epsilon epsilon'$ and behind $(X'X)^{-1}$.
Start with the definition of $b$:
$$b=(X'X)^{-1}X'Y.$$
Replacing $Y$ with $Xbeta+epsilon$ in our expression above, we get
$$b=(X'X)^{-1}X'(Xbeta+epsilon)=beta+(X'X)^{-1}X'epsilon.$$
It follows that
$$b-beta = (X'X)^{-1}X'epsilon$$
Now turn to the defintion of $e$:
$$e=Y-hat{Y}=Y-Xb=Y-X(X'X)^{-1}X'Y.$$
Notice $X(X'X)^{-1}X'$ is the projection matrix for $X$, which we will denote with $P_{[X]}$.
Replacing this in our expression for $e,$ we get
$$e=(I-P_{[X]})Y=M_{[X]}Y.$$
Replacing $Y$ in the expression above with $Xbeta+epsilon$, we get
$$e=M_{[X]}(Xbeta+epsilon)=M_{[X]}epsilon,$$
since $M_{[X]}X$ is a matrix of zeros.
Post-multiplying $b-beta$ with $e'$, we get
$$(b-beta)e'=(X'X)^{-1}X'epsilon epsilon' M_{[X]},$$
since $e'=epsilon'M_{[X]}.$
$endgroup$
$begingroup$
Ah. The key thing I was missing was what you wrote in the last line.
$endgroup$
– David
2 hours ago
add a comment |
$begingroup$
I am assuming $b$ is the OLS estimate of $beta$ and $e$ is the corresponding estimate of $epsilon$. Also I believe you have a typo above in your expression, as there should be $X'$ in front of $epsilon epsilon'$ and behind $(X'X)^{-1}$.
Start with the definition of $b$:
$$b=(X'X)^{-1}X'Y.$$
Replacing $Y$ with $Xbeta+epsilon$ in our expression above, we get
$$b=(X'X)^{-1}X'(Xbeta+epsilon)=beta+(X'X)^{-1}X'epsilon.$$
It follows that
$$b-beta = (X'X)^{-1}X'epsilon$$
Now turn to the defintion of $e$:
$$e=Y-hat{Y}=Y-Xb=Y-X(X'X)^{-1}X'Y.$$
Notice $X(X'X)^{-1}X'$ is the projection matrix for $X$, which we will denote with $P_{[X]}$.
Replacing this in our expression for $e,$ we get
$$e=(I-P_{[X]})Y=M_{[X]}Y.$$
Replacing $Y$ in the expression above with $Xbeta+epsilon$, we get
$$e=M_{[X]}(Xbeta+epsilon)=M_{[X]}epsilon,$$
since $M_{[X]}X$ is a matrix of zeros.
Post-multiplying $b-beta$ with $e'$, we get
$$(b-beta)e'=(X'X)^{-1}X'epsilon epsilon' M_{[X]},$$
since $e'=epsilon'M_{[X]}.$
$endgroup$
$begingroup$
Ah. The key thing I was missing was what you wrote in the last line.
$endgroup$
– David
2 hours ago
add a comment |
$begingroup$
I am assuming $b$ is the OLS estimate of $beta$ and $e$ is the corresponding estimate of $epsilon$. Also I believe you have a typo above in your expression, as there should be $X'$ in front of $epsilon epsilon'$ and behind $(X'X)^{-1}$.
Start with the definition of $b$:
$$b=(X'X)^{-1}X'Y.$$
Replacing $Y$ with $Xbeta+epsilon$ in our expression above, we get
$$b=(X'X)^{-1}X'(Xbeta+epsilon)=beta+(X'X)^{-1}X'epsilon.$$
It follows that
$$b-beta = (X'X)^{-1}X'epsilon$$
Now turn to the defintion of $e$:
$$e=Y-hat{Y}=Y-Xb=Y-X(X'X)^{-1}X'Y.$$
Notice $X(X'X)^{-1}X'$ is the projection matrix for $X$, which we will denote with $P_{[X]}$.
Replacing this in our expression for $e,$ we get
$$e=(I-P_{[X]})Y=M_{[X]}Y.$$
Replacing $Y$ in the expression above with $Xbeta+epsilon$, we get
$$e=M_{[X]}(Xbeta+epsilon)=M_{[X]}epsilon,$$
since $M_{[X]}X$ is a matrix of zeros.
Post-multiplying $b-beta$ with $e'$, we get
$$(b-beta)e'=(X'X)^{-1}X'epsilon epsilon' M_{[X]},$$
since $e'=epsilon'M_{[X]}.$
$endgroup$
I am assuming $b$ is the OLS estimate of $beta$ and $e$ is the corresponding estimate of $epsilon$. Also I believe you have a typo above in your expression, as there should be $X'$ in front of $epsilon epsilon'$ and behind $(X'X)^{-1}$.
Start with the definition of $b$:
$$b=(X'X)^{-1}X'Y.$$
Replacing $Y$ with $Xbeta+epsilon$ in our expression above, we get
$$b=(X'X)^{-1}X'(Xbeta+epsilon)=beta+(X'X)^{-1}X'epsilon.$$
It follows that
$$b-beta = (X'X)^{-1}X'epsilon$$
Now turn to the defintion of $e$:
$$e=Y-hat{Y}=Y-Xb=Y-X(X'X)^{-1}X'Y.$$
Notice $X(X'X)^{-1}X'$ is the projection matrix for $X$, which we will denote with $P_{[X]}$.
Replacing this in our expression for $e,$ we get
$$e=(I-P_{[X]})Y=M_{[X]}Y.$$
Replacing $Y$ in the expression above with $Xbeta+epsilon$, we get
$$e=M_{[X]}(Xbeta+epsilon)=M_{[X]}epsilon,$$
since $M_{[X]}X$ is a matrix of zeros.
Post-multiplying $b-beta$ with $e'$, we get
$$(b-beta)e'=(X'X)^{-1}X'epsilon epsilon' M_{[X]},$$
since $e'=epsilon'M_{[X]}.$
answered 3 hours ago
dlnBdlnB
81011
81011
$begingroup$
Ah. The key thing I was missing was what you wrote in the last line.
$endgroup$
– David
2 hours ago
add a comment |
$begingroup$
Ah. The key thing I was missing was what you wrote in the last line.
$endgroup$
– David
2 hours ago
$begingroup$
Ah. The key thing I was missing was what you wrote in the last line.
$endgroup$
– David
2 hours ago
$begingroup$
Ah. The key thing I was missing was what you wrote in the last line.
$endgroup$
– David
2 hours ago
add a comment |
$begingroup$
Assuming that the coefficient estimator $b$ is calculated by OLS estimation, you have:
$$begin{equation} begin{aligned}
b-beta
&= (X'X)^{-1} X'y - beta \[6pt]
&= (X'X)^{-1} X'(X beta + epsilon)- beta \[6pt]
&= (X'X)^{-1} (X'X) beta + (X'X)^{-1} X' epsilon - beta \[6pt]
&= beta + (X'X)^{-1} X' epsilon - beta \[6pt]
&= (X'X)^{-1} X' epsilon. \[6pt]
end{aligned} end{equation}$$
Presumably $e$ is the residual vector (different to the error vector $epsilon$) so we have $e = M_{[X]} Y = M_{[X]} epsilon$. Substituting this vector gives:
$$begin{equation} begin{aligned}
(b-beta) e'
&= (X'X)^{-1} X' epsilon (M_{[X]} epsilon)' \[6pt]
&= (X'X)^{-1} X' epsilon epsilon' M_{[X]}' \[6pt]
&= (X'X)^{-1} X' epsilon epsilon' M_{[X]}. \[6pt]
end{aligned} end{equation}$$
(The last step follows from the fact that $M_{[X]}$ is a symmetric matrix.) So the expression given by your professor is missing the $X'$ term.
$endgroup$
2
$begingroup$
Nice, I think we both must have been typing our answers at the same time. I'm glad you also found the mistake.
$endgroup$
– dlnB
3 hours ago
1
$begingroup$
@dlnb: Jinx! Buy me a coke!
$endgroup$
– Ben
3 hours ago
add a comment |
$begingroup$
Assuming that the coefficient estimator $b$ is calculated by OLS estimation, you have:
$$begin{equation} begin{aligned}
b-beta
&= (X'X)^{-1} X'y - beta \[6pt]
&= (X'X)^{-1} X'(X beta + epsilon)- beta \[6pt]
&= (X'X)^{-1} (X'X) beta + (X'X)^{-1} X' epsilon - beta \[6pt]
&= beta + (X'X)^{-1} X' epsilon - beta \[6pt]
&= (X'X)^{-1} X' epsilon. \[6pt]
end{aligned} end{equation}$$
Presumably $e$ is the residual vector (different to the error vector $epsilon$) so we have $e = M_{[X]} Y = M_{[X]} epsilon$. Substituting this vector gives:
$$begin{equation} begin{aligned}
(b-beta) e'
&= (X'X)^{-1} X' epsilon (M_{[X]} epsilon)' \[6pt]
&= (X'X)^{-1} X' epsilon epsilon' M_{[X]}' \[6pt]
&= (X'X)^{-1} X' epsilon epsilon' M_{[X]}. \[6pt]
end{aligned} end{equation}$$
(The last step follows from the fact that $M_{[X]}$ is a symmetric matrix.) So the expression given by your professor is missing the $X'$ term.
$endgroup$
2
$begingroup$
Nice, I think we both must have been typing our answers at the same time. I'm glad you also found the mistake.
$endgroup$
– dlnB
3 hours ago
1
$begingroup$
@dlnb: Jinx! Buy me a coke!
$endgroup$
– Ben
3 hours ago
add a comment |
$begingroup$
Assuming that the coefficient estimator $b$ is calculated by OLS estimation, you have:
$$begin{equation} begin{aligned}
b-beta
&= (X'X)^{-1} X'y - beta \[6pt]
&= (X'X)^{-1} X'(X beta + epsilon)- beta \[6pt]
&= (X'X)^{-1} (X'X) beta + (X'X)^{-1} X' epsilon - beta \[6pt]
&= beta + (X'X)^{-1} X' epsilon - beta \[6pt]
&= (X'X)^{-1} X' epsilon. \[6pt]
end{aligned} end{equation}$$
Presumably $e$ is the residual vector (different to the error vector $epsilon$) so we have $e = M_{[X]} Y = M_{[X]} epsilon$. Substituting this vector gives:
$$begin{equation} begin{aligned}
(b-beta) e'
&= (X'X)^{-1} X' epsilon (M_{[X]} epsilon)' \[6pt]
&= (X'X)^{-1} X' epsilon epsilon' M_{[X]}' \[6pt]
&= (X'X)^{-1} X' epsilon epsilon' M_{[X]}. \[6pt]
end{aligned} end{equation}$$
(The last step follows from the fact that $M_{[X]}$ is a symmetric matrix.) So the expression given by your professor is missing the $X'$ term.
$endgroup$
Assuming that the coefficient estimator $b$ is calculated by OLS estimation, you have:
$$begin{equation} begin{aligned}
b-beta
&= (X'X)^{-1} X'y - beta \[6pt]
&= (X'X)^{-1} X'(X beta + epsilon)- beta \[6pt]
&= (X'X)^{-1} (X'X) beta + (X'X)^{-1} X' epsilon - beta \[6pt]
&= beta + (X'X)^{-1} X' epsilon - beta \[6pt]
&= (X'X)^{-1} X' epsilon. \[6pt]
end{aligned} end{equation}$$
Presumably $e$ is the residual vector (different to the error vector $epsilon$) so we have $e = M_{[X]} Y = M_{[X]} epsilon$. Substituting this vector gives:
$$begin{equation} begin{aligned}
(b-beta) e'
&= (X'X)^{-1} X' epsilon (M_{[X]} epsilon)' \[6pt]
&= (X'X)^{-1} X' epsilon epsilon' M_{[X]}' \[6pt]
&= (X'X)^{-1} X' epsilon epsilon' M_{[X]}. \[6pt]
end{aligned} end{equation}$$
(The last step follows from the fact that $M_{[X]}$ is a symmetric matrix.) So the expression given by your professor is missing the $X'$ term.
answered 3 hours ago
BenBen
26.8k230124
26.8k230124
2
$begingroup$
Nice, I think we both must have been typing our answers at the same time. I'm glad you also found the mistake.
$endgroup$
– dlnB
3 hours ago
1
$begingroup$
@dlnb: Jinx! Buy me a coke!
$endgroup$
– Ben
3 hours ago
add a comment |
2
$begingroup$
Nice, I think we both must have been typing our answers at the same time. I'm glad you also found the mistake.
$endgroup$
– dlnB
3 hours ago
1
$begingroup$
@dlnb: Jinx! Buy me a coke!
$endgroup$
– Ben
3 hours ago
2
2
$begingroup$
Nice, I think we both must have been typing our answers at the same time. I'm glad you also found the mistake.
$endgroup$
– dlnB
3 hours ago
$begingroup$
Nice, I think we both must have been typing our answers at the same time. I'm glad you also found the mistake.
$endgroup$
– dlnB
3 hours ago
1
1
$begingroup$
@dlnb: Jinx! Buy me a coke!
$endgroup$
– Ben
3 hours ago
$begingroup$
@dlnb: Jinx! Buy me a coke!
$endgroup$
– Ben
3 hours ago
add a comment |
Thanks for contributing an answer to Cross Validated!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fstats.stackexchange.com%2fquestions%2f398797%2fwhy-does-this-expression-simplify-as-such%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown