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Given an $n$-vector $y$ (responses) and a design matrix $X$, I wish to fit them with a simple linear regression model $$y=X\beta+e,$$ or,

$y_t = x_t'\beta_0 + e_t$ where $e\sim\mathcal{N}(0, \sigma^2I)$ and $\beta_0$ is the true parameter. Then, we have $$y\sim\mathcal{N}(X\beta, \sigma^2I).$$ Then the maximum likelihood estimations (MLE) of $\beta$ which is the Ordinary Least Square estimator is $$\hat\beta_n=(X_n^TX)^{-1}X_n^TY_n$$. Then how to calculate the Expectation of the variance of the estimation error viz. $E[(\hat{\beta_n} - \beta_0){(\hat{\beta_n} - \beta_0)}^T]$ . I am struggling to understand what to substitute for $\beta_0$ in this calculation and how to find the expression. Any help will be extremely useful. Thank you.

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I don't understand the subscript $n$ notation, however, in the least squares problem that is given by: \begin{equation} {\bf{y}}={\bf{H}}{\theta}+\bf{n}, \end{equation}

where ${\bf{n}}\sim\mathcal{N}(\bf{0}, \sigma^2I_N)$ is a zero mean additive white Gaussian noise and $I_N$ is the $N \times N$ identity matrix, the maximum likelihood and the least squares estimators are equivalent and are efficient estimators (i.e. unbiased and attains the Cramer Rao bound) and are given by \begin{equation} \widehat \theta_{ML}=\left ( \bf{H^TH} \right )^{-1} \bf{H^Ty} . \end{equation}

Now, let's calculate the first two moments of the estimator:

\begin{equation} E\left \{ \widehat \theta_{ML} \right \} = E\left \{ \left ( \bf{H^TH} \right )^{-1} \bf{H^Ty} \right \} = \\ \left ( \bf{H^TH} \right )^{-1} \bf{H^T} \underset{=\bf{H}\theta}{\underbrace{E\left \{ \bf{y}\right \}}} = \theta, \end{equation} where $\theta$ is the true parameter value. Thus, the estimator is unbiased and its Mean Square Error(MSE) will equal its covariance.

Now for the covariance:

Remember that if $\bf{z}=\bf{Ax}$ then $cov\left ( \bf{z} \right ) = \bf{A} cov\left ( x \right ) \bf{A^T}$. Since the mean doesn't change the covariance in our problem $\bf{y} \sim \mathcal{N}\left ( \bf{H\theta}, \sigma^2I_N \right )$, thus,

\begin{equation} cov\left ( \widehat \theta_{ML} \right )=\left ( \bf{H^TH} \right )^{-1} \bf{H^T} cov\left ( \bf{n} \right ) \bf{H}\left ( \bf{H^TH} \right )^{-1} = \\ = \left ( \bf{H^TH} \right )^{-1} \bf{H^T} \sigma^2 \bf{I_N} \bf{H}\left ( \bf{H^TH} \right )^{-1} = \\ = \sigma^2 \left ( \bf{H^TH} \right )^{-1} \bf{H^T} \bf{H}\left ( \bf{H^TH} \right )^{-1} = \sigma^2 \left ( \bf{H^TH} \right )^{-1}. \end{equation}

Note that $\bf{H^TH}$ is symmetric so it equals its transpose. Same is correct for its inverse.

I believe that this answers your question completely.

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