This lecture note was done by Choongrak Kim(Professor, Department of Statistics, Pusan National University), based on “Regression Analysis” (Authors : Choongrak Kim and Geunseok Kang ; Publisher : Gyowoo S: 2nd edition) which is written in Korean. In fact, this note is an English ver- sion of the text. I prepared this note only for students taking Regression Analysis (I) (De- partment of Statistics, Pusan National University) and its OCW version, not for any other purpose. I declare that this lecture note is for the aca- demic purpose only, and should not be used for commercial purpose. The use of this lecture note is free, and any attempts for commercial use is ille- gal January 1, 2019 Choongrak Kim, Professor Department of Statistics, Pusan National University 6] Bole t= PALLY SAT ASS WES who BA sS| Ap AL BAB: BALA) Ab ABR, LAL SWAY: GL-G-AF (MI23D) 229) oleh a madueh 8 2a Sa) i BADGE B 20194 14 12) PALS} EALAPPENDIX. Matrix Theory A.1 Basic Theories A.1.1 Types of Matrix (1) The m x n matrix A with the ij component a, is given by My m2 My 1 a2 Ay A yet A Goon and denoted by A (2) The ith row vector of A: a; = (aj 4;9 «+ din) The jth column vector of A ay a; (3) square matrix: m = n case (4) diagonal matrix : a square matrix with aj, = 0, i # j, and denoted by A= diag(ay,--+ 44) (8) unit matrix or identity matrix :a diagonal matrix with aj; = 1, i= 1,---,m, and denoted by I or I,(6) The transpose of an m x n matrix A = (a,j) isan m x m matrix A’ = (aj), and also denoted by AT or A‘. Further, itis clear that (AB)! = B’A (7) A square matrix A is called idempotent if A? = A, Ad.2 Trace (1) The trace of a square matrix A is sum of diagonal elements of A, and denoted by tr(A). Hence, tr(A) Lai (2) properties of trace tr(A +B) = (A) + &(B) t(kA) =k tr(A), k : constant tr(AB) = (BA), where AB and BA should be defined. A.1.3 Determinant (1) The determinant of an n x n square matrix A is denoted by det(A) or Al, and defined as det(A) =) aye, Vis 1-1, A where eg = (1) dy -2-is called the cofactor of aj; and dj is the determinant of (1 — 1) x (n — 1) matrix A(,,) which is matrix A with the ith row and jth column deleted. (2) Examples n= Lease: |A| = au1,i¢, the value itself n=2case Al= = anera —Aarntm, (i = Lease [=| 02 © | anon aatn, ( ) agua + dnatui, (i= 2 case) n= 3case 4 M1213 IA) = aan aaa any 931 432 433 a@y1C11 + Ay2C12 + 413¢13 axa a3 an as an azn as 033 | "| am a3 as, 432 = ay 1472033 — ay1A32025 ~ Ay2A21433 + 12431023, + aysaq1 32 — 413431422 (2) properties of determinant |AB| = |BA| = |A\|BI, if A and Bare n x n square matrix [Aj = |4’| |kA| = R"\Al, kis constant(3) A square matrix A is called non — singular if |A| £ 0, and called singular if |A| =0. A.2 Inverse Matrix A.2.1 Linearly Independence and Dependence (1) Def : The linear combination of n-dimensional vector o1,--- 0, and constants ¢1,-++ ,¢ is 0, ie, ee Fyn = 0 has at least one c; which is nonzero, then 01, + ,d, are called linearly dependent. Otherwise, if all the c's are zero, then 0, ogare called linearly independent. (2) Example : Two vectors (1, 1) and (—3, 2) are linearly independent because a(i)+eG@)=(6) gives cy —3cz = 0, cy +2cp = 0, and we must have c, = 0, cp = (3) Remark : If o1,--- , oj are linearly dependent, ¢,0; + oy = Ohas nonzero ¢;, Assume that if ¢; # 0, then 1 By = ——(CyD1 + + Gad] at cjerdjer +o + KDE) G —4-