This commit is contained in:
Morten Hjorth-Jensen
2022-09-07 13:56:14 +02:00
parent 70a0d9dc05
commit c2ea0d1b62
15 changed files with 833 additions and 895 deletions
@@ -536,17 +536,9 @@ print(np.abs(C-B))
# which gives us, using the orthogonality of the matrices $\boldsymbol{U}$ and $\boldsymbol{V}$,,
# $$
# \tilde{y}_{\mathrm{OLS}}=\boldsymbol{U}\boldsymbol{U}^T\boldsymbol{y}=\sum_{i=0}^{p-1}\boldsymbol{u}_i\boldsymbol{u}^T_j\boldsymbol{y},
# \tilde{y}_{\mathrm{OLS}}=\boldsymbol{U}\boldsymbol{U}^T\boldsymbol{y}=\sum_{i=0}^{p-1}\boldsymbol{u}_i\boldsymbol{u}^T_i\boldsymbol{y},
# $$
# Note here that when we perform the multiplication of the various matrices, the orthogonal vectors of the matrix $\boldsymbol{U}$
# $$
# \boldsymbol{U}=[\boldsymbol{u}_0,\boldsymbol{u}_1,\dots,\boldsymbol{u}_{n-1}],
# $$
# that belong to $i>p-1$, result in only zeros when we perform the multiplications. This means that the sum above has non-zero elements only up to $i=p-1$. This corresponds also to the number of singular values (these are all non-zero).
#
# It means that the ordinary least square model (with the optimal parameters) $\boldsymbol{\tilde{y}}$, corresponds to an orthogonal transformation of the output (or target) vector $\boldsymbol{y}$ by the vectors of the matrix $\boldsymbol{U}$.
# ## Further properties (important for our analyses later)