Georgeval

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These are questions asked by Georgeval

I am trying to prove the equation of the least square estimator. For example, I have: 

X := Matrix(2,3,symbol=p)

Y:= Matrix(2,1,symbol=f)

b:= Matrix(2,1,symbol=n)

or Y=X.b

The known estimation of b results from the minimization of the objective function: 

S:=Transpose(X.b-Y).(X.b-Y).

We take the derivative of the above expression and set it equals with zero. 

Then the estimator is: b=MatrixInverse(Transpose(X).X).Transpose(X).Y

How can I get this expression using commands οn maple?

My final task is to change the objective function to see the different estimations. For example if I have the below objective function which is the results of estimation as equation:

S:=Transpose(X.b-Y).MatrixInverse(C).(X.b-Y)

where C:=Matrix(2,2,symbol=w)

Ofcorsse I know the answer, but I am not sure for more complicated objective functions.

 

 

 

 

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