=== Introduction Here I give some notes for a shorter, simpler, more general, no calculus derivatives derivation of the basics of regression analysis. === The

=== Introduction Here I give some notes for a shorter, simpler, more general, no calculus derivatives derivation of the basics of regression analysis. === The Given Data Let R be the set of real numbers (can use the set of rational numbers instead if wish). We are given positive integers m and n. In our typing, character '^' starts a superscript; character '_' starts a subscript. We regard R^m as the set of all m x 1 matrices (column vectors); that is, each point in R^m is a matrix with m rows and 1 column with its components in set R. We are given m x 1 y in R^m. We are given m x n matrix A with components in R. We will need to know what matrix transpose is: For an intuitive view, the transpose of A is A^T where each column of A becomes a row of A^T. Or to be explicit, for i = 1 to m and j = 1 to n, the component in row i and column j of A becomes the component in row j and column i of A^T. We notice that each column of A is m x 1 and, thus, a point in R^m. Suppose b is n x 1 with components in R. Then the matrix product Ab is m x 1 in R^m and is a linear combination (with coefficients from b) of the columns of A. === Real World So we have data A and y. To get this data, maybe we got some medical record data on m = 100,000 people. For each person we got data on age, income, years of schooling, height, weight, birth gender (0 for male, 1 for female), years of smoking, blood sugar level, blood cholesterol level, race (1 to 5 from white, black, Hispanic, Asian, other), that is n = 10 variables. We get to select these variables and call them independent. For person i = 1 to m = 100,000, we put the value of variable j = 1 to n = 10 in row i and column j of matrix A. Or matrix A has one row for each person and one column for each variable. Vector y has systolic blood pressure: For i = 1 to m = 100,000, row i of y, that is, y_i, has the systolic blood pressure of person i. We regard systolic blood pressure in y as the dependent variable. What we want to do is use our data to get a mathematical function that for any person, in the m = 100,000 or not, takes in the values of the independent variables, 1 x n v, and returns the corresponding value of the dependent variable 1 x 1 z. To this end we want n x 1 b so that we have z = vb So for any person, we take their independent variable values v, apply coefficients b, and get their dependent variable value z. We seek the b we will use on all people. === The Normal Equations So, we have our given m x n A and m x 1 y, and we seek our n x 1 b. We let S = { Au | n x 1 u } That is, S is the set of all the linear combinations of the columns of A, a hyperplane in R^m, a generalization of a plane in three dimensions or a line in two dimensions, a vector subspace of R^m, the vector subspace of R^m spanned by the columns of A. We seek w in S to minimize the squared length ||y - w||^2 = \sum_{i = 1}^m (y_i - w_i)^2 (notation from D. Knuth's math typesetting software TeX), that is the sum (capital letter Greek sigma) from i = 1 to m of (y_i - w_i)^2 where y_i is component i of m x 1 y in R^m and similarly for w_i. That is, we seek the w in the hyperplane S that is closest to our dependent variable value y. Well, from some simple geometry, the vector y - w has to be perpendicular to the hyperplane S. Also from the geometry, w is unique, the only point in S that minimizes the squared length ||y - w||^2 For the geometry, there is one classic theorem -- in W. Rudin, Real and Complex Analysis -- that will mostly do: In quite general situations, more general than R^m, every non-empty, closed, convex set has a unique element of minimum norm (length). Now that we have the definitions and tools we need, we derive the normal equations in just two lines of matrix algebra: Since (y - w) is perpendicular to each column of A, we have that A^T (y - w) = 0 where the right side is an n x 1 matrix of 0s. Then A^T y = A^T Ab or with the usual writing order (A^T A)b = A^T y the normal equations where we have A and y and solve for b. === Results Since w is in S, the equations do have a solution. Moreover, from the geometry, w is unique. If the n x n square matrix (A^T A) has an inverse, then the solution, the b is also unique. Note: Vector w DOES exist and is unique; b DOES exist; if the inverse of (A^T A) exists, then b is unique; otherwise b STILL exists but is not unique. STILL w is unique. How 'bout that! Since w is in S and since (y - w) is perpendicular to all the vectors in S, we have that (y - w)^T w = 0 y^T y = (y - w + w)^T (y - w + w) = (y - w)^T (y - w) + (y - w)^T w + w^T (y - w) + w^T w = (y - w)^T (y - w) + w^T w or [total sum of squares] = [regression sum of squares] + [error sum of squares] or the Pythagorean theorem. So, now that we have found b, for any v, we can get our desired z from vb. The b we found works best in the least squares sense for the m = 100,000 data we had. If the 100,000 are an appropriate sample of a billion, and if our b works well on our sample, then maybe b will work well on the billion. Ah, maybe could prove some theorems here, theorems with meager or no more assumptions than we have made so far! "Look, Ma, no calculus! And no mention of the Gaussian distribution. No mention of maximum likelihood. Except for regarding the m = 100,000 observations as a sample from a billion, we have mentioned no probability concepts. We never asked for a matrix inverse. And we never mentioned multicollinearity." And, maybe the inverse of n x n (A^T A) does exist but is "numerically unstable". Sooooo, we begin to suspect: The b we get may be inaccurate but the w may still be fine and our z = vb may also still be accurate. Might want to look into this. For a start, sure, the matrix (A^T A) being numerically unstable is essentially the same as the ratio of the largest and smallest (positive, they are all positive) eigenvalues being large. That is, roughly, the problem is that the small eigenvalues are, in the scale of the problem, close to 0. Even if they are 0, we have shown that our w is still unique.