Chapter 1 DJM 23 January 2017 The normal linear model Assume that 1. 2. 3. 4.

What What What What

yi = x> i β + i .

are all these things? is the mean of yi ? is the distribution of i ? is the notation X or Y ?

Drawing a sample yi = x> i β + i . Write code which draws a sample form the population given by this model. p = 3 n = 100 sigma = 2 epsilon = rnorm(n,sd=sigma) # this is random X = matrix(runif(n*p), n, p) # treat this as fixed, but I need numbers beta = rpois(p+1,5) # also fixed, but I again need numbers Y = cbind(1,X) %*% beta + epsilon # epsilon is random, so this is ## Equiv: Y = beta[1] + X %*% beta[-1] + epsilon

How do we estimate beta? 1. 2. 3. 4.

Guess. Ordinary least squares (OLS). Maximum likelihood. Do something more creative.

Method 1: Guess This method isn’t very good, as I’m sure you can imagine.

Method 2. OLS Suppose I want to find an estimator βb which makes small errors on my data. I measure errors with the difference between predictions X βb and the responses Y . I don’t care if the differences are positive or negative, so I try to measure the total error with n X b yi − x> i β . i=1

1

This is fine, but hard to minimize (what is the derivative of | · |?) So I use

n X

b2 (yi − x> i β) .

i=1

Method 2. OLS solution We write this as βb = arg min β

n X 2 (yi − x> i β) . i=1

“Find the β which minimizes the sum of squared errors.” Note that this is the same as

n

1X 2 (yi − x> βb = arg min i β) . β n i=1

“Find the beta which minimizes the mean squared error.”

Method 2. Ok, do it We differentiate and set to zero

n

∂ 1X 2 (yi − x> i β) ∂β n i=1 n

=

2X xi (yi − x> i β) n i=1

=

2X −xi x> i β + xi yi n i=1

n

0≡ ⇒

n X

−xi x> i β + xi yi

i=1 n X

xi x> i β =

i=1

⇒β=

n X

xi yi

i=1 n X

!−1 xi x> i

i=1

n X i=1

In matrix notation. . . . . . this is βˆ = (X > X)−1 X > Y. The β which “minimizes the sum of squared errors” AKA, the SSE.

2

xi yi

Method 3: maximum likelihood Method 2 didn’t use anything about the distribution of . But if we know that  has a normal distribution, we can write down the joint distribution of Y = (y1 , . . . , yn ): n Y

fY (y; β) =

fyi ;β (yi )

i=1 n Y

 1 > 2 √ exp − 2 (yi − xi β) = 2σ 2πσ 2 i=1 !  n/2 n 1 1 X > 2 exp − 2 = (yi − xi β) 2πσ 2 2σ i=1 1



In M463, we think of fY as a function of y with β fixed: 1. If we integrate over y from −∞ to ∞, it’s 1. 2. If we want the probability of (a, b), we integrate from a to b. 3. etc.

Turn it around. . . . . . instead, think of it as a function of β. We call this “the likelihood” of beta: L(β). Given some data, we can evaluate the likelihood for any value of β (assuming σ is known). It won’t integrate to 1 over β. But it is “convex”, meaning we can maximize it (the second derivative wrt β is everywhere negative).

So let’s maximize The derivative of this thing is kind of ugly. But if we’re trying to maximize over β, we can take an increasing transformation without changing anything. I choose loge . L(β) =



`(β) = −

1 2πσ 2

n/2

n 1 X 2 exp − 2 (yi − x> i β) 2σ i=1

n 1 X n 2 log(2πσ 2 ) − 2 (yi − x> i β) 2 2σ i=1

But we can ignore constants, so this gives βb = arg max − β

n X 2 (yi − x> i β) i=1

The same as before!

3

!

The here and now In S432, we focus on OLS. In S420, you look at maximum likelihood (for this and many other distributions). Here, the method gives the same estimator. We need to be able to evaluate how good this estimator is however.

Mean squared error (MSE) Let’s look at the population version, and let’s forget about the linear model. Suppose we think that there is some function which relates y and x. Let’s call this function f for the moment. How do we estimate f ? What is f ?

Minimizing MSE Let’s try to minimize the expected sum of squared errors (MSE)      E (Y − f (X))2 = E E (Y − f (X))2 | X h i 2 = E Var [Y | X] + E [(Y − f (X)) | X] h i 2 = E [Var [Y | X]] + E E [(Y − f (X)) | X] The first part doesn’t depend on f , it’s constant, and we toss it. To minimize the rest, take derivatives and set to 0.  ∂   E E (Y − f (X))2 | X ∂f = −E [E [2(Y − f (X) | X]]

0=

⇒ 2E [f (X) | X] = 2E [Y | X] ⇒ f (X) = E [Y | X]

The regression function We call this solution: µ(X) = E [Y | X] the regression function. If we assume that µ(x) = E [Y | X = x] = x> β, then we get back exactly OLS. But why should we assume µ(x) = x> β?

4

The regression function In mathematics: µ(x) = E [Y | X = x]. In words: Regression is really about estimating the mean. 1. If Y ∼ N(µ, 1), our best guess for a new Y is µ. 2. For regression, we let the mean (µ) depend on X. 3. Think of Y ∼ N(µ(X), 1), then conditional on X = x, our best guess for a new Y is µ(x) [whatever this function µ is]

Causality For any two variables Y and X, we can always write Y | X = µ(X) + η(X) such that E [η(X)] = 0. • Suppose, µ(X) = µ0 (constant in X), are Y and X independent? • Suppose Y and X are independent, is µ(X) = µ0 ?

Previews of future chapters Linear smoothers What is a linear smoother? 1. Suppose I observe Y1 , . . . , Yn . 2. A linear smoother is any prediction function that’s linear in Y. ˆ = WY for any matrix W. • Linear functions of Y are simply premultiplications by a matrix, i.e. Y 3. Examples: P   • Y = n1 Yi = n1 1 1 · · · 1 Y ˆ = X(X> X)−1 X> Y • Given X, Y • You will see many other smoothers in this class

kNN as a linear smoother (We will see smoothers in more detail in Ch. 4) 1. 2. 3. 4.

For kNN, consider a particular pair (Yi , Xi ) Find the k covariates Xj which are closest to Xi Predict Yi with the average of those Xj ’s This turns out to be a linear smoother

• How would you specify W?

Kernels (Again, more info in Ch. 4)

5

• There are two definitions of “kernels”. We’ll use only 1. • Recall the pdf for the Normal density:   1 1 2 exp (x − µ) f (x) = √ 2σ 2 2πσ • The part that depends on the data (x), is a kernel • The kernel has a center (µ) and a range (σ)

Kernels (part 2) • In general, any function which integrates, is non-negative, and symmetric is a kernel in the sense used in the book • You can think of any (unnormalized) symmetric density function (uniform, normal, Cauchy, etc.) • The way you use a kernel is take a weighted average of nearby data to make predictions • The weight of Xj is given by the height of the density centered at Xi • Examples: 2 • The Gaussian kernel is K(x − x0 ) = e−(x−x0 ) /2 • The Boxcar kernel is K(x − x0 ) = I(x − x0 < 1)

Kernels (part 3) • • • • • •

You don’t need the normalizing constant To alter the support: take (x − x0 )/h and K(z) = K(z)/h Now, the range of the density is determined by h You can interpret kNN as a particular kind of kernel The range is determined by k The center is determined by Xi

6

Chapter 1 - GitHub

Jan 23, 2017 - 1. What are all these things? 2. What is the mean of yi? 3. What is the distribution of ϵi? 4. What is the notation X or Y ? Drawing a sample yi = xi β + ϵi. Write code which draws a sample form the population given by this model. p = 3 .... We'll use only 1. • Recall the pdf for the Normal density: f(x) = 1. √. 2πσ.

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