Professional Documents
Culture Documents
Module 2
Module 2
y N×1
X N×p
β
ε N×1 (
N 0, σ 2I N )
y i = x iβ + ε i
y i, i = 1, …, N i
xi i X
∀i
β
εi i ( )
N 0, σ 2
Y i, i = 1, …, n
N×1 y
u v, v = 1, …, r qv v
u1 q1
q = ∑ rv = 0q v q×1
u = [u T, ⋯, u T] T
1 r
Z v, v = 1, …, r N × qv v
u1 q1 = n Z1
u1 i i
i = 1, …, n
y l
1 l 2
N=l⋅n l=4
N×q Z = [Z 1, ⋯, Z r]
r
y = Xβ + ∑ Z vu v + ε
v=1
= Xβ + Zu + ε
u ∼ N(0, Ψ) Ψ q×q
Ψ var(u v) = D vv cov(u v, u v ′ ) = D vv ′
cov(u v, ε) = 0, ∀v = 1, …, r
ε
u0 N×N Z0 = IN
(N + q) × 1
u∗ = [u T0 , u T1 , ⋯, u Tr] T N × (N + q) Z ∗ = [Z 0, Z 1, ⋯, Z r]
r
y = Xβ + ∑ Z vu v
v=0
= Xβ + Z ∗u ∗
n
y = [y T1 , …, y Ti, …, y Tn] T
[
Z v = z T1v, …, z Tiv, …, z Tnv ] T
[
X = x T1 , …, x Ti, …, x Tn ] T
ε = [ε T1 , …, ε Ti, …, ε Tn]
r
y i = x iβ + ∑ z ivu v + ε i
v=1
u v ∼ N(0, D v) D v q v × q v
[ ]
cov u v, u v ′ = D vv ′ D vv = D v
cov [u v, ε i ] = 0, ∀i, v
ε i ∼ N(0, σ 2I n)
n×1 y i, ∀i
n×p x i, ∀i
n × qv z iv, ∀i
qv × 1 u v, ∀v
qv × qv′ D vv ′
xi
z iv = z v ∀i D v = σ 2v I q
v
[ ]
cov u v, u v ′ = D vv ′ = 0
D vv ′ σ 2vv ′
qv = qv′ D vv ′ = σ 2vv ′I q .
v
⊗
r
y i = x iβ + ∑ z ivu v + ε i,
v=1
r=1 J
n
u 1 = [u 11 … u 1n] T
z iv J×n i
Z = In ⊗ ιJ ιJ J Z (n ⋅ J) × n ⋅ 1 = N × n
vec(y i) = Xβ + (I n ⊗ ι q)u 1 + vec(ε i),
vec
n×p x
i
X = x ⊗ ιJ
E[y] = Xβ
Var[y] = var(Zu) + σ 2I N
var[y] = ZΨZ T + σ 2I N
[ ]
E y i = x iβ
( )
var y i = ∑ rv = 1z ivD vz Tiv + σ 2I n
z iv = z v ∀i
( )
var y i = ∑ rv = 1σ 2v z ivz Tiv + σ 2I n.