On leverage

Last week, in our STT5100 (applied linear models) class, I’ve introduce the hat matrix, and the notion of leverage. In a classical regression model, (in a matrix form), the ordinary least square estimator of parameter is The prediction can then be writtenwhere is called the hat matrix. The matrix is idempotent, i.e. so it can be interpreted as a projection matrix. Furthermore, since (just do the maths), the projection is on a subspace that contains all the linear combinations of columns of . One … Continue …