residual maker matrix

E590316

A residual maker matrix is a linear algebra operator in regression analysis that projects data onto the space orthogonal to the regressors, yielding the vector of residuals.

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residual maker matrix canonical 1

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Statements (43)

Predicate Object
instanceOf linear operator
matrix
projection matrix
actsOn response vector y
alsoKnownAs annihilator matrix
error projection matrix
residual projection matrix
appearsIn ANOVA decomposition NERFINISHED
general linear models
ordinary least squares
assumes design matrix X has full column rank for standard formulas
commutesWith hat matrix H
definedFor linear regression model y = Xβ + ε
dimension n×n (for n observations)
equation HM = 0
M' = M
MH = 0
M^2 = M
field linear algebra
linear regression
statistics
generalizationOf orthogonal projection onto a subspace complement
image orthogonal complement of the column space of X
nullSpace column space of X
orthogonalTo column space of X
projectsOnto orthogonal complement of the column space of X
property idempotent
symmetric
rank n - p (for full column rank X of size n×p)
relatedConcept error space in regression
orthogonal decomposition of y into fitted values and residuals
projection onto column space of X
relatedTo hat matrix
relation M = I - H
e = My
symbol I - H
M
trace n - p (for full column rank X)
usedFor computing regression residuals
decomposing sums of squares in regression
deriving properties of least squares estimators
projection of data onto error space
yields residual vector e

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Full triples — surface form annotated when it differs from this entity's canonical label.

Frisch–Waugh–Lovell theorem relatedTo residual maker matrix