由
ε
^
=
(
I
−
H
)
y
\hat \varepsilon=(I-H)\bf{y}
ε^=(I−H)y
有
E
(
ε
^
)
=
(
I
−
H
)
E
(
Z
β
+
ε
)
=
(
I
−
H
)
Z
β
=
0
E(\hat \varepsilon)=(I-H)E(Z\beta+\varepsilon)=(I-H)Z\beta=0
E(ε^)=(I−H)E(Zβ+ε)=(I−H)Zβ=0
C
o
v
(
ε
^
)
=
(
I
−
H
)
C
o
v
(
Z
β
+
ε
)
(
I
−
H
)
′
=
σ
2
(
I
−
H
)
Cov(\hat \varepsilon)=(I-H)Cov(Z\beta+\varepsilon)(I-H)^{\prime}=\sigma^2(I-H)
Cov(ε^)=(I−H)Cov(Zβ+ε)(I−H)′=σ2(I−H)
同时
C
o
v
(
ε
^
)
=
E
[
(
ε
^
−
E
(
ε
^
)
)
(
ε
^
′
−
E
(
ε
^
′
)
)
]
=
E
[
(
ε
^
−
0
)
(
ε
^
′
−
0
)
]
Cov(\hat \varepsilon)=E[(\hat \varepsilon-E(\hat \varepsilon))(\hat \varepsilon^{\prime}-E(\hat \varepsilon^{\prime}))]=E[(\hat \varepsilon-0)(\hat \varepsilon^{\prime}-0)]
Cov(ε^)=E[(ε^−E(ε^))(ε^′−E(ε^′))]=E[(ε^−0)(ε^′−0)]
于是
C
o
v
(
ε
^
)
=
E
(
ε
^
ε
^
′
)
=
σ
2
(
I
−
H
)
Cov(\hat \varepsilon)=E(\hat \varepsilon\hat \varepsilon^{\prime})=\sigma^2(I-H)
Cov(ε^)=E(ε^ε^′)=σ2(I−H)
两边取迹：
t
r
(
E
(
ε
^
ε
^
′
)
)
=
t
r
(
σ
2
(
I
−
H
)
)
{\bf tr}(E(\hat \varepsilon\hat \varepsilon^{\prime}))={\bf tr}(\sigma^2(I-H))
tr(E(ε^ε^′))=tr(σ2(I−H))
E
(
t
r
(
ε
^
ε
^
′
)
)
=
σ
2
t
r
(
I
−
H
)
E({\bf tr}(\hat \varepsilon\hat \varepsilon^{\prime}))=\sigma^2{\bf tr}(I-H)
E(tr(ε^ε^′))=σ2tr(I−H)
E
(
t
r
(
ε
^
′
ε
^
)
)
=
σ
2
(
t
r
(
I
n
)
−
t
r
(
Z
(
Z
′
Z
)
−
1
Z
′
)
)
E({\bf tr}(\hat \varepsilon^{\prime}\hat \varepsilon))=\sigma^2({\bf tr}(I_n)-{\bf tr}(Z(Z^{\prime}Z)^{-1}Z^{\prime}))
E(tr(ε^′ε^))=σ2(tr(In)−tr(Z(Z′Z)−1Z′))
E
(
ε
^
′
ε
^
)
=
σ
2
(
n
−
t
r
(
(
Z
′
Z
)
−
1
Z
′
Z
)
)
E(\hat \varepsilon^{\prime}\hat \varepsilon)=\sigma^2(n-{\bf tr}((Z^{\prime}Z)^{-1}Z^{\prime}Z))
E(ε^′ε^)=σ2(n−tr((Z′Z)−1Z′Z))
E
(
ε
^
′
ε
^
)
=
σ
2
(
n
−
t
r
(
I
q
+
1
)
)
E(\hat \varepsilon^{\prime}\hat \varepsilon)=\sigma^2(n-{\bf tr}(I_{q+1}))
E(ε^′ε^)=σ2(n−tr(Iq+1))
E
(
ε
^
′
ε
^
)
=
σ
2
(
n
−
q
−
1
)
E(\hat \varepsilon^{\prime}\hat \varepsilon)=\sigma^2(n-q-1)
E(ε^′ε^)=σ2(n−q−1)
回归随笔——写给自己
最新推荐文章于 2024-07-24 11:46:20 发布
842
被折叠的 条评论
为什么被折叠?
到【灌水乐园】发言
