(λ Regression Analysis)

Basics

Observed data: N × ( 1 + K ) N \times (1+K) matrix:

y 1 x 11 x 1 K y N x N 1 x N K \begin{matrix} y_{1} &x_{11} &\ldots & x_{1K} \\ &&\vdots \\ y_{N} &x_{N1} &\ldots & x_{NK} \\ \end{matrix}

In frequentist regime, the components of this matrix are random variables. And each row corresponds to a single observation. The first column is denoted as the column vector Y Y and the remaining columns form the N × K N\times K matrix X X .

Goal of regression analysis is to calculate E [ Y X ] E[Y|X] from a set of observations.

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