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- m 0362International Journal of Computational Engineering Research(IJCER)075081
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Estimation/Hypothesis Testing

Y Nx1 = X Nxp b px1 + e Nx1

e = y Ey and Ee = 0 EY =Xb, vare = Eee = 2 I N

results in e 0, 2 I and Y Xb, 2 I

Normal equations:

Using least squares we obtain

XXb = XY

Consider a completely randomized design

y ij = + i + e ij for i = 1, 2, 3

Then b =

1 2 3

observation 1 2 3

y 11

1 1

y 12

1 1

y 13

1 1

y 21

1 0

y 22

1 0

y 31

1 0

normal off-type aberrant

101

84

105

88

32

94

totals 300

172

32

The sum of the last 3 columns is the first column; every y ij contains therefore the first column of X is all

ones. Also every y ij contains just one therefore the sum of the last three columns is one hence X is not of

full column rank. X X is square symmetric; its elements are inner products of the columns of X with each

other. X is not of full column rank therefore X Xis not of full column rank.

6 3 2 1

XX =

3 3 0 0

2 0 2 0

1 0 0 1

NOTE: elements of XX are the number of times that parameter of the model occurs in a total

i.e. occurs 6 times in y , 1 occurs 3 times in y , 2 occurs 2 times in y , 3 occurs once in y

occurs 3 times in y 1 , 1 occurs 3 times in y 1 , 2 and 3 do not occur in y 1

and

y 11

XY =

1 1 1 1 1 1

y 12

1 1 1 0 0 0

y 13

0 0 0 1 1 0

y 21

0 0 0 0 0 1

y 22

y 31

y

=

y 1

y 2

y 3

504

300

172

32

101 = y 11 = + 1 + e 11

105 = y 12 = + 2 + e 12

XY is a vector consisting of the inner product of columns of X with Y and since the nonzero elements of X are

y

ones, we obtain

y 1

y 2

y 3

Since XX is not of full column rank, there is not one unique solution to the normal equations

XXb 0 = XY

where

0

b0 =

01

02

03

GXXb 0 = GXY b 0 = GXY

6 3 2 1

3 3 0 0

01

2 0 2 0

02

1 0 0 1

03

y

y 1

y 2

504

=

y 3

300

172

32

EXY = XY

replacing b by b 0 on LHS.

Hence a solution is

b 0 = GXY

Consequence of a Solution:

b 0 is a function of Y

a.

Eb 0 = GXEY

= GXXb

= Hb

b.

varb 0 = varGXY

= GXvarYXG

= GXXG 2 I

For XX symmetric orthogonal permutation matrix P

XP XP = PXXP

A 11 A 12

2=

A 12 A 22

then

G=P

A 1

11 0

0

and

GXXG = G

and

varb 0 = G 2

c. Estimating Ey

Ey = y = Xb 0

= XGXy

Note this vector is invariant to G since XGX is invariant hence y is always the same regardless of

b0

SSE = y Xb 0 y Xb 0

= yy yXb 0 Xb 0 y + Xb 0 Xb 0

= yI XGX I XGX y

= yI XGX y

= yy yXGXy

= yy b 0 Xy in computational form

and XGX is invariant to G so SSE is invariant to G and hence invariant to b 0 .

With y NXb. 2 I

ESSE = EyI XGX y

= trI XGX 2 I + Xb I XGX Xb

= 2 rankI XGX

= N rankX 2

Hence

2 =

SSE

N rankX

SST = yy

SST = yy

SSM = Ny 2 = yN 1 11y from fitting a general mean SST m = yy Ny 2

SSR m0 = yXGX N 1 11

SSE = yI XGX y

SSE = yI XGX y

SSE = yI XGX y

g. Coefficient of Determination R 2

N

y i y y i y

R2 =

so

i=1

N

N

y i y 2 y i y

i=1

i=1

Note:

XXGX = X

SSR 2m

SST m SSR m

= SSR m

SST m

R2 =

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