We have a regression model y = X 8 + 6, where y is n x 1, X is n x k, and B is k x 1. 1. In lecture we introduce the pro

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We Have A Regression Model Y X 8 6 Where Y Is N X 1 X Is N X K And B Is K X 1 1 In Lecture We Introduce The Pro 1 (27.85 KiB) Viewed 135 times

We have a regression model y = X 8 + 6, where y is n x 1, X is n x k, and B is k x 1. 1. In lecture we introduce the projection matrix, namely P= X(X'X)-IX and the annihilator matrix M M=In-P 1 where I, is an x n identity matrix. Show that for any n dimensional vector a, we have P. Pa= Pa, M.Ma = Ma Show that PX = X and MX = 0.