Index: The Book of Statistical ProofsStatistical ModelsUnivariate normal data ▷ Multiple linear regression ▷ Ordinary least squares

Theorem: Given a linear regression model with independent observations

$\label{eq:MLR} y = X\beta + \varepsilon, \; \varepsilon_i \overset{\mathrm{i.i.d.}}{\sim} \mathcal{N}(0, \sigma^2) \; ,$

the parameters minimizing the residual sum of squares are given by

$\label{eq:OLS} \hat{\beta} = (X^\mathrm{T} X)^{-1} X^\mathrm{T} y \; .$

Proof: Let $\hat{\beta}$ be the ordinary least squares (OLS) solution and let $\hat{\varepsilon} = y - X\hat{\beta}$ be the resulting vector of residuals. Then, this vector must be orthogonal to the design matrix,

$\label{eq:X-e-orth} X^\mathrm{T} \hat{\varepsilon} = 0 \; ,$

because if it wasn’t, there would be another solution $\tilde{\beta}$ giving another vector $\tilde{\varepsilon}$ with a smaller residual sum of squares. From \eqref{eq:X-e-orth}, the OLS formula can be directly derived:

$\label{eq:OLS-qed} \begin{split} X^\mathrm{T} \hat{\varepsilon} &= 0 \\ X^\mathrm{T} \left( y - X\hat{\beta} \right) &= 0 \\ X^\mathrm{T} y - X^\mathrm{T} X\hat{\beta} &= 0 \\ X^\mathrm{T} X\hat{\beta} &= X^\mathrm{T} y \\ \hat{\beta} &= (X^\mathrm{T} X)^{-1} X^\mathrm{T} y \; . \end{split}$
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Metadata: ID: P2 | shortcut: mlr-ols | author: JoramSoch | date: 2019-09-27, 07:18.