general linear regression modelin matrix terms（一般线性回归modelin矩阵）.doc

Page 22 General Linear Regression Model in Matrix Terms Suppose we have one response variable Y and (p-1) predictor (explanatory) variables X1, X2, . . . , Xp-1, and n observations, so that the dataset looks like the following: X1 X2 . . . Xp-1 Y ( (random error) X11 X12 . . . X1(p-1) Y1 (1 X21 X22 . . . X2(p-1) Y2 (1 ….. …… ………. ….. …. ….. …… ………. ….. …. ….. …… ………. ….. …. Xn1 Xn2 . . . Xn(p-1) Yn (n b The general linear regression model is given by Yi = (0 + (1Xi1 + (2X12 + . (p-1X1(p-1) + . . . (i, i = 1, 2, …, n. In matrix terms this becomes Y = X ( + ( where Yi = (0 + (1Xi1 + (2X12 + . (p-1X1(p-1) + . . . (i, Y is the vector of n responses Y1, Y2, . . . , Yn X is the n x p matrix with first column all 1’s and the values of X1, X2 , . . .Xp-1 (assumed to be of rank p) ( is the p x 1 vector of parameters. (0, (1. , . . . , (p-1. ( is an n x 1 vector of uncorrelated errors. (1, (2, . . . , (p. The random errors (1, (2, . . . , (p are assumed to be independent with mean 0 and common variance (2. For the purpose of making statistical inferences, it is further assumed that the errors are normally distributed. Page 23 Estimation of Parameters. The most commonly used criterion to estimate the parameters in the model is the principle of least squares, which involves minimizing Q = = Σ[Yi - (0 - (1Xi1 - (2Xi2 - . (p-1Xi(p-1)]2 = (Y = X ()′ ( Y = X () It is easily shown that the value b of ( which minimizes Q is the solution of the least squares normal equations X′Xb = X′Y which has the solution b = (X′X)-1X′Y Note: If we assume that the errors are normally distributed then the least squares estimator b is also the maximum likelihood estimator of ( (to be discussed later). Residuals ei are the difference between observed and fitted values and are given by