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ps1sol2010

# ps1sol2010 - Stats 203 Problem Set 1 Courtesy to Lee Shoa...

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Stats 203 - Problem Set 1 Courtesy to Lee Shoa Long Clarke January 31, 2010 1a. By deﬁnition n i =1 e i = n i =1 y i - ˆ y i . Using the deﬁnition of ¯ y we can rewrite this: n X i =1 y i - ˆ y i = n X i =1 y i - n X i =1 ˆ y i = n ¯ y - n X i =1 ˆ y i Since ˆ y i = ˆ β 0 + ˆ β 1 x i , we can substitute to get: n X i =1 y i - ˆ y i = n ¯ y - n X i =1 ˆ β 0 + ˆ β 1 x i = n ¯ y - n ¯ y + n ˆ β 1 ¯ x - n X i =1 ˆ β 1 x i = n ˆ β 1 ¯ x - n X i =1 ˆ β 1 x i = n ˆ β 1 ¯ x - n ˆ β 1 ¯ x = 0 1b. No. The fact that n i =1 e i = 0 is a consequence of how we estimate ˆ y i (least squares estimation). Whereas the assumption that ± i are i.i.d. normal with mean 0 is based on our belief that there is not an inherent bias in our measurement of Y . Even if the error is not iid N (0 2 ), the least square estimation will still give us n i =1 e i = 0. 2a. Let X = 1 x 1 . . . . . . 1 x n ,Y = y 1 . . . y n = ± β 0 β 1 ² . ˆ β = arg min β L ( β ) = arg min β ( Y - ) T ( Y - ) Hence ˆ β satisﬁes ∂L ∂β = 2 X T ( Y - ) = 0 ˆ β = ( X T X ) - 1 X T Y ˆ Y = X ˆ β = X ( X 0 X ) - 1 X 0 Y 1

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r can be expressed as a linear transformation of Y . r = Y - ˆ Y = Y - ( X T X ) - 1 X T Y = ( I n - ( X T X ) - 1 X T ) Y 2b. Deﬁne matrix P = ( X T X ) - 1 X T , P is an projection matrix which project data to the space spanned by columns of X. Given ˆ β = PY and r = ( I n - P ) Y , Cov ( ˆ β,r ) = Cov ( PY, ( I n - P ) Y ) = PCov ( Y,Y )( I n - P ) T = 2 I n ( I n - P ) = σ 2 P ( I n - P T ) = σ 2 P ( I n - P ) since P is symmetric = σ 2 ( P - PP ) = σ 2 ( P - P ) since P is idempotent = 0 In addition, Y is normally distributed and linear combination of normal r.v. is still normally dis- tributed,hence ˆ β and r are normal random varialbes. Since uncorrelated normal random variables are independent, ˆ β and r are independent. 2c. For simplicity, let’s rewrite the model using matrix notation, Y = + ± . Since each ± i is distributed N (0 2 ), we see that n X i =1 ± 2 i = ± T ± σχ 2 n We can rewrite this, ± T ± = ( Y - ) T ( Y - ) = ( Y - + X ˆ β - X ˆ β ) T ( Y - + X ˆ β - X ˆ β ) = ( Y - X ˆ β + X ( ˆ β - β )) T ( Y - X ˆ β + X ( ˆ β - β )) = ( Y - X ˆ β ) T ( Y - X ˆ β ) + ( ˆ β - β ) T X T X ( ˆ β - β ) + 2( ˆ β - β ) T X T ( Y - X ˆ β ) = ( Y - X ˆ β ) T ( Y - X ˆ β ) + ( ˆ β - β ) T X T X ( ˆ β - β ) The last equality follows from the fact that ( ˆ β - β ) T X T ( Y - X ˆ β ) = ( ˆ β - β ) T ( X T Y - X T X ˆ β ) = 0 by using the deﬁnition of ˆ β as a linear transformation of Y as done above. Now, using V ar ( ˆ β ) = σ 2 ( X T X ) - 1 and E [ ˆ β ] = β , we see ( ˆ β - β ) T X T X ( ˆ β - β ) = σ 2 ( ˆ β - β ) T V ar - 1 ( ˆ β )( ˆ β - β ) N (0 2 I 2 ) . and since
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ps1sol2010 - Stats 203 Problem Set 1 Courtesy to Lee Shoa...

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