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Fitted-residual orthogonality (H(I−H)=0)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Statistical model Statistical modelling Normal linear model Hat matrix
2026-10-06  0 By others on same topic  0 Discussions Create my own version
For a full-rank ordinary least squares design matrix, the hat matrix H and residual projection G=I−H satisfy HG=GH=0. Hence fitted values and regression residuals are perpendicular as observed vectors. Under isotropic errors their cross-covariance matrix is zero, and under a normal linear model the two vectors are independent.

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  • Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 33 / 1 / Solution

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