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Concepts from matrix algebra that the course participants should be familiar with:

matrix

vector (row and column)

some special matrices: square, symmetric, diagonal, identity

scalar

matrix addition/subtraction/multiplication

transpose of a matrix/vector

inverse of a matrix

trace of a matrix

We will not actually carry out any computations with matrix algebra by hand, but

familiarity with these concepts will be useful for understanding some of the equations

that will be presented during the course. Writing out certain equations without matrix

algebra is extremely cumbersome. With matrix algebra, we can write the same

equations in a much shorter way.

Simple Regression using Matrix Algebra

Once you have reviewed the items on the list above, it is useful to see an example how

these concepts can be put into practice. For this, here is an illustration of using matrix

algebra to carry out the computations for simple linear regression. Suppose you have

collected the following data on the midterm and final exam scores of 5 students:

Person Midterm Final

1 5 4

2 7 5

3 7 6

4 7 8

5 9 10

Now suppose you want to conduct a regression analysis with the final exam score as the

dependent variable and the midterm exam score as the independent variable. Enter the

data given above into a software package of your choice and conduct the regression

analysis. For example, in SPSS, the output looks as follows:

Model

Unstandardized

Coefficients

Standardized

Coefficients

t Sig. B Std. Error Beta

1 (Constant)

-3.900 3.311 -1.178 .324

midterm

1.500 .465 .881 3.223 .048

a Dependent Variable: final

Therefore, we see that the estimate of the intercept is equal to -3.9 and the estimate of

the slope is equal to 1.5.

Therefore:

predicted (average) final exam score = -3.9 + 1.5 midterm exam score.

The predicted (average) final exam score for students who score a 7 on the midterm

exam is therefore:

-3.9 + 1.5(7) = 6.6.

Now we will obtain the same results using matrix algebra. First, define the following

(column) vector y and the (5x2) matrix X:

(

(

(

(

(

=

10

8

6

5

4

y and

(

(

(

(

(

=

9 1

7 1

7 1

7 1

5 1

X .

So, y is a column vector with the values of the dependent variable and X is a matrix with

only 1s in the first column (coresponding to the intercept) and the values of the

independent variable in the second column.

The (matrix) equation to obtain the parameter estimates is given by

y X X X b

1

' ) ' (

=

We will now go through this equation step by step. First, we take the transpose of X

(denoted by X), which is equal to

(

=

9 7 7 7 5

1 1 1 1 1

' X .

Next, we multiply X with X:

(

=

(

(

(

(

(

=

253 35

35 5

9 1

7 1

7 1

7 1

5 1

9 7 7 7 5

1 1 1 1 1

' X .

Next, we need to take the inverse of XX. Note that XX is a square matrix with two rows

and two columns. In general, the inverse of a 2x2 matrix M with elements

(

=

d c

b a

M

is equal to

(

a b

b d

bc ad

1

1

M .

Applying this to our example, we find:

.

125 . 0 875 . 0

875 . 0 325 . 6

5 35

35 253

40

1

5 35

35 253

) 35 ( 35 ) 253 ( 5

1

) ' (

1

(

=

(

=

(

X X

Next, we compute Xy:

(

=

(

(

(

(

(

=

243

33

10

8

6

5

4

9 7 7 7 5

1 1 1 1 1

' X .

So finally, we have all of the elements to compute

y X X X b

1

' ) ' (

=

namely

(

=

(

=

5 . 1

9 . 3

243

33

125 . 0 875 . 0

875 . 0 325 . 6

b .

The first element in b is the intercept estimate and the second element is the slope

estimate.

Using matrix algebra, we can also get the predicted value for students who score a 7 on

the midterm exam by first defining the row vector:

| | 7 1 =

i

x

and then calculating:

| | 6 . 6

5 . 1

9 . 3

7 1 =

(

= b x

i

.

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