Regression matrix

The matrix $B$ of regression coefficients (cf. Regression coefficient) $\beta _ {ji}$, $j = 1 \dots m$, $i = 1 \dots r$, in a multi-dimensional linear regression model,

$$\tag{* } X = B Z + \epsilon .$$

Here $X$ is a matrix with elements $X _ {jk}$, $j = 1 \dots m$, $k = 1 \dots n$, where $X _ {jk}$, $k = 1 \dots n$, are observations of the $j$- th component of the original $m$- dimensional random variable, $Z$ is a matrix of known regression variables $z _ {ik}$, $i = 1 \dots r$, $k = 1 \dots n$, and $\epsilon$ is the matrix of errors $\epsilon _ {jk}$, $j = 1 \dots m$, $k = 1 \dots n$, with ${\mathsf E} \epsilon _ {jk} = 0$. The elements $\beta _ {ji}$ of the regression matrix $B$ are unknown and have to be estimated. The model (*) is a generalization to the $m$- dimensional case of the general linear model of regression analysis.

References

 [1] M.G. Kendall, A. Stuart, "The advanced theory of statistics" , 3. Design and analysis, and time series , Griffin (1983)

In econometrics, for example, a frequently used model is that one has $m$ variables $y _ {1} \dots y _ {m}$ to be explained (endogenous variables) in terms of $n$ explanatory variables $x _ {1} \dots x _ {n}$( exogenous variables) by means of a linear relationship $y= Ax$. Given $N$ sets of measurements (with errors), $( y _ {t} , x _ {t} )$, the matrix of relation coefficients $A$ is to be estimated. The model is therefore

$$y _ {t} = A x _ {t} + \epsilon _ {t} .$$

With the assumption that the $\epsilon _ {t}$ have zero mean and are independently and identically distributed with normal distribution, that is, the so-called standard linear multiple regression model or, briefly, linear model or standard linear model. The least squares method yields the optimal estimator:

$$\widehat{A} = M _ {yx} M _ {xx} ^ {-1} ,$$

where $M _ {xx} = N ^ {-1} ( \sum _ {t=1} ^ {N} x _ {t} x _ {t} ^ {T} )$, $M _ {yx} = N ^ {-1} ( \sum _ {t=1} ^ {N} y _ {t} x _ {t} ^ {T} )$. In the case of a single endogenous variable, $y = a ^ {T} x$, this can be conveniently written as

$$\widehat{a} = ( X ^ {T} X) ^ {-1} X ^ {T} Y ,$$

where $Y$ is the column vector of observations $( y _ {1} \dots y _ {N} ) ^ {T}$ and $X$ is the $( N \times n )$ observation matrix consisting of the rows $x _ {t} ^ {T}$, $t = 1 \dots N$. Numerous variants and generalizations are considered [a1], [a2]; cf. also Regression analysis.

References

 [a1] E. Malinvaud, "Statistical methods of econometrics" , North-Holland (1970) (Translated from French) [a2] H. Theil, "Principles of econometrics" , North-Holland (1971)
How to Cite This Entry:
Regression matrix. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Regression_matrix&oldid=51014
This article was adapted from an original article by A.V. Prokhorov (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article