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Mathematical theory of statistics, concerned with formal definitions and general results.
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How to write OLS criterion in terms of OLS regression error?
I think I've figure it out, that since we minimize Q, we can get normal equation (first order equation) that make the middle two terms equal to 0. The detail is here:
$Q_n(\beta)=\frac{1}{n}\sum_{}^{} …
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How to write OLS criterion in terms of OLS regression error?
I'm learning OLS criterion (minimize the sample analog of Mean Square Error). And in one part the slide said OLS criterion can be written as:
$Q_n(\beta)=\frac{1}{n}\hat{U}^T\hat{U}+(\beta-\hat{\beta} …