- May 15, 2020

HW3: More Linear RegressionStat 154, Fall 2019Problem 1We examine a response variable Y in terms of two predictors X and Z. There are n observa-tions. Let X be a matrix formed by a constant term of 1, and the vectors x and z. Considerthe cross-product matrix XTX given below:XTX =30 0 0? 10 7? ? 15a. Complete the missing values denoted by “?”, and determine the value of n?b. Calculate the linear correlation coefficient between X and Z.c. If the OLS regression equation is: yˆi = −2 + xi + 2zi, What is the value of y¯?d. If the residual sum of squares (RSS) is 12, What is the value of R2? Recall thatRSS = ∑ni=1(yi − yˆi)2.Problem 2Consider a linear regression model:yi = w0xi0 + w1xi1 + wpxip + i = wTxi + iand assume that the noise terms i are independent and have a Gaussian distribution withmean zero and constant variance σ2:i ∼ N(0, σ2)In lecture, we discussed how to obtain the parameters w = (w0, w1, . . . , wp) of a linearregression model via Maximum Likelihood (ML), which are given by: w = (XTX)−1XTyDetermine the ML estimate of the other model paramater: σ2 (the constant variance).1Problem 3Multicollinearity is easy to detect in a linear regression model with two predictors; we needonly look at the value of r12 = cor(X1, X2). When there are more than two regressors,however, inspection of the rij is not sufficient.For example, assume that we have four predictors X1, X2, X3 and X4, and correlation coef-ficients, rij are r12 = r13 = r23 = 0, with variances σ21 = σ22 = σ23, and X4 = X1 +X2 +X3.Show that r14 = r24 = r34 = 0.577Problem 4Consider minimizing a quadratic function f(x) = 12x>Ax−bTx, where b is a vector and Ais a positive semidefinite matrix.Suppose that A is invertible. Show that the minimum of f(x) is given by x∗ = A−1b.Problem 5LetA1 =1 0 00 2 00 0 2 ,A2 =1 0 00 2 00 0 0 ,andb =110Let f1(x) = 12x>A1x− b>x and f2(x) = 12x>A2x− b>x.Implement Gradient Descent to minimize both f1(x) and f2(x). For each function, rungradient descent with 5 different random initializations, and print the solutions. Are theythe same for each random initialization? Explain.2