Index: The Book of Statistical ProofsStatistical Models ▷ Univariate normal data ▷ Multiple linear regression ▷ Projection matrix

Definition: In multiple linear regression, the projection matrix is the matrix $P$ that results in the fitted signal explained by estimated parameters when right-multiplied with the measured data:

$\label{eq:pm} Py = \hat{y} = X \hat{\beta} \; .$

Sources:

Metadata: ID: D82 | shortcut: pmat | author: JoramSoch | date: 2020-07-22, 05:25.