Index: The Book of Statistical ProofsStatistical Models ▷ Univariate normal data ▷ Multiple linear regression ▷ Independence of estimated parameters and residuals

Theorem: Assume a linear regression model with correlated observations

$\label{eq:mlr} y = X\beta + \varepsilon, \; \varepsilon \sim \mathcal{N}(0, \sigma^2 V)$

and consider estimation using weighted least squares. Then, the estimated parameters and the vector of residuals are independent from each other:

$\label{eq:mlr-ind} \begin{split} \hat{\beta} &= (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} V^{-1} y \quad \text{and} \\ \hat{\varepsilon} &= y - X \hat{\beta} \quad \text{ind.} \end{split}$

Proof: Equation \eqref{eq:mlr} implies the following distribution for the random vector $y$:

$\label{eq:y-dist} \begin{split} y &\sim \mathcal{N}\left( X \beta, \sigma^2 V \right) \\ &\sim \mathcal{N}\left( X \beta, \Sigma \right) \\ \text{with} \quad \Sigma &= \sigma^2 V \; . \end{split}$ $\label{eq:b-proj} \begin{split} \hat{\beta} &= (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} V^{-1} y \\ &= A y \\ \text{with} \quad A &= (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} V^{-1} \end{split}$ $\label{eq:e-proj} \begin{split} \hat{\varepsilon} &= y - X \hat{\beta} \\ &= (I_n - X (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} V^{-1}) y \\ &= B y \\ \text{with} \quad B &= (I_n - X (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} V^{-1}) \; . \end{split}$

Two projections $AZ$ and $BZ$ from the same multivariate normal random vector $Z \sim \mathcal{N}(\mu, \Sigma)$ are independent, if and only if the following condition holds:

$\label{eq:mvn-ind} A \Sigma B^\mathrm{T} = 0 \; .$

Combining \eqref{eq:y-dist}, \eqref{eq:b-proj} and \eqref{eq:e-proj}, we check whether this is fulfilled in the present case:

$\label{eq:mlr-ind-qed} \begin{split} A \Sigma B^\mathrm{T} &= (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} V^{-1} (\sigma^2 V) (I_n - X (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} V^{-1})^\mathrm{T} \\ &= \sigma^2 \left[ (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} V^{-1} V - (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} V^{-1} V V^{-1} X (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} \right] \\ &= \sigma^2 \left[ (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} - (X^\mathrm{T} V^{-1} X)^{-1} X^\mathrm{T} \right] \\ &= \sigma^2 \cdot 0_{pn} \\ &= 0 \; . \end{split}$

This demonstrates that $\hat{\beta}$ and $\hat{\varepsilon}$ – and likewise, all pairs of terms separately derived from $\hat{\beta}$ and $\hat{\varepsilon}$ – are statistically independent.

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Metadata: ID: P393 | shortcut: mlr-ind | author: JoramSoch | date: 2022-12-13, 16:18.