Linear Regression, Residual Sum of Squares
Suppose the columns of a rank 4 design matrix
come in three groups
Group 1:
,
Group 2:
and
Group 3:
so that
if i and j are indicies from different groups.
Next consider 4 models, with design matricies:
Model 1: ![X_{(1)} = [X_{1}]](http://latex.codecogs.com/png.latex?X_{(1)} = [X_{1}])
Model 2: ![X_{(2)} = [X_{1}, X_{2}, X_{3}]](http://latex.codecogs.com/png.latex?X_{(2)} = [X_{1}, X_{2}, X_{3}])
Model 3: ![X_{(3)} = [X_{1}, X_{2}, X_{3}, X_{4}]](http://latex.codecogs.com/png.latex?X_{(3)} = [X_{1}, X_{2}, X_{3}, X_{4}])
Model 4: ![X_{(4)} = [X_{1}, X_{4}]](http://latex.codecogs.com/png.latex?X_{(4)} = [X_{1}, X_{4}])
Now then the question asks to show that
where
is the residual sum of squares (SS error) for the ith model.
is the only formula for SS error that I know, which I believe does not apply in this situation. So it means that I'm absolutely stuck! I think I'm looking at this the wrong way to be honest. Where should I look into? Any hints?