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I was reading through linear regression but I cannot get my head around with the notation.

Given a set of points $(x_1, y_1), \ldots, (x_n,y_n) \in \mathbf{R}$ the least-squares approximation is can be found solving

$$\left(\sum_{i=1}^n (x_i)^2\right)~a + \left(\sum_{i=1}^n(x_i)\right)~b = \sum_{i=1}^{n} x_i y_i$$ $$\left(\sum_{i=1}^n x_i\right)~a + n~b = \sum_{i=1}^{n} y_i$$

Up to here I understand the derivation and expressing this in matrix form is simple and looks like

$$ \begin{bmatrix} \sum_{i=1}^n (x_i)^2 & \sum_{i=1}^n(x_i) \\ \sum_{i=1}^n x_i & n \end{bmatrix} \begin{bmatrix} a \\ b \end{bmatrix} = \begin{bmatrix} \sum_{i=1}^{n} x_i y_i \\ \sum_{i=1}^{n} y_i \end{bmatrix} $$

The problem I having is when $(x_1, y_1), \ldots, (x_n,y_n) \in \mathbf{R^n}$, how to get the previous representation to look like the normal equation

$$\hat \beta=(X^TX)^{-1}X^T y$$

where I guess $\hat \beta$ is a the vector with all the parameters of the linear regression. I don't see how to go from the sums to a pure matrix notation.

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I'll post this proof of least squares as this seems appropriate here. It's least squares from a linear algebra point of view, and adapted from Friedberg's Linear Algebra. It requires some more involved linear algebra arguments, but I think it gives a good perspective on least squares. Plus, the normal equations just fall right out of this derivation.

First, we assume we have $N$ data points $(y_1, \mathbf{x}_1), ..., (y_N, \mathbf{x}_N),$ where $\mathbf{x}_i = (1, x_{i1}, ..., x_{ip}).$ Here $y_i$ and $x_{ij}$ are taken to be real numbers. Letting $\mathbf{X}$ be the matrix whose $i^\text{th}$ row is $\mathbf{x}_i$ and $\bf{y}$ the vector whose $i^\text{th}$ component is $y_i$, the problem of least squares can be stated as finding $\beta$ satisfying:

$$ \underset{\beta \in \mathbb{R}^{p + 1}}{\text{argmin}} \ ||\mathbf{y} - \mathbf{X}\beta||^2. $$

Remember from linear algebra, that $\bf{X}$ represents a linear transformation $\mathbb{R}^{p + 1} \to \mathbb{R}^N$ given by $\mathbf{w} \mapsto \mathbf{X}\mathbf{w},$ so it makes sense to define $W$ to be the range of $\bf{X}.$ Now, from linear algebra we know that we can write $$ \mathbf{y} = \mathbf{u} + \mathbf{z} $$ for some $\mathbf{u} \in W, \mathbf{z} \in W^\perp,$ where $W^\perp$ is the subspace of $\mathbb{R}^{N}$ orthogonal to $W$, or the orthogonal complement of $W.$ This vector $\mathbf{u}$ is what is usually called the orthogonal projection of $\bf{y}$ onto $W$, and already satisfies:

$$ ||\mathbf{y} - \mathbf{u}||^2 \leq ||\mathbf{y} - \mathbf{w}||^2 $$

for all $\mathbf{w} \in W.$ Now, since $\mathbf{u} \in W$, then by definition $\mathbf{u} = \mathbf{X}\hat{\beta}$ for some $\hat{\beta} \in \mathbb{R}^{p + 1}$ (since $W$ is the range of $\mathbf{X}$), and

$$ \mathbf{X}\hat{\beta} - \mathbf{y} = -\mathbf{z} \in W^\perp $$

since $W^\perp$ is a subspace. Since $W^\perp$ is the orthogonal complement of $W,$ then for any $\alpha \in \mathbb{R}^{p + 1}$ (again since $W$ is the range of $\bf{X}$):

$$ 0 = \left<\mathbf{X}\hat{\beta} - \mathbf{y}, \mathbf{X}\alpha\right> = \left<\mathbf{X}^*(\mathbf{X}\hat{\beta} - \mathbf{y}), \alpha\right>. $$

Here $\mathbf{X}^*$ is called the adjoint of $\mathbf{X},$ and since $\mathbf{X}$ only has real entries, $\mathbf{X}^* = \mathbf{X}^T.$ The last equation implies that

$$ 0 = \mathbf{X}^*(\mathbf{X}\hat{\beta} - \mathbf{y}) = \mathbf{X}^T(\mathbf{X}\hat{\beta} - \mathbf{y}) = \mathbf{X}^T\mathbf{X}\hat{\beta} - \mathbf{X}^T\mathbf{y}. $$

If you assume $\mathbf{X}^T\mathbf{X}$ is invertible, then this gives you:

$$ \hat{\beta} = \left(\mathbf{X}^T\mathbf{X}\right)^{-1}\mathbf{X}^T\mathbf{y} $$

which are precisely the normal equations! You see that arguing in this manner bypasses the messy summation notation, and also generalizes least squares to the case where $\mathbf{y}_i, \mathbf{x}_i$ (it is easy to extend this to the case where you are regressing on vectors rather than just numeric values) are both vectors of arbitrary dimension (not necessarily equal dimension).

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Write

$$X=\left[\begin{array}{cc} 1 & x_1 \\ \vdots & \vdots \\ 1 & x_n \end{array} \right]$$

and likewise for $y$.

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  • $\begingroup$ Swap the columns if you want exactly your matrix. It's standard to put the constant first, however. $\endgroup$
    – JPi
    Jan 20, 2014 at 12:26

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