By showing (a) through (c), prove EX( )2 2(p + 1). Prove the following statements:
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Question:
By showing (a) through (c), prove EX(β˜ − β)2 ≥ σ2(p + 1).
Prove the following statements:
(a) For covariates x1,...,xN , if we obtain the responses z1,...,zN , then the likelihood
of the parameter γ ∈ Rp+1 is
for an arbitrary β ∈ Rp+1
(b) If we take the expectation of (a) w.r.t. z1,...,zN , it is
(c) If we estimate β and choose an estimate γ of β, the minimum value of (b) on average is
and the minimum value is realized by the least squares method.
(d) Instead of choosing all the p covariates, we choose 0 ≤ k ≤ p covariates from p. Minimizing
w.r.t. k is equivalent to minimizing N log σ2 k + k w.r.t. k, where σ2 k is the minimum variance when we choose k covariates.
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