Question 56
In linear regression with feature collinearity (multicollinearity), what happens to the matrix (X^{T} X)?
Original solution basis:
Collinear features cause X^{T} X to have near-zero determinant, making (X^{T} X)^{-1} unstable and coefficient estimates volatile.
Deep Dive
If columns of X are strongly correlated, one column is close to a linear combination of others. Then XᵀX becomes ill-conditioned or singular. Its inverse, when it exists, can amplify small data perturbations, causing large changes in estimated coefficients. Exact collinearity makes XᵀX singular; near-collinearity makes it numerically unstable.Key Points to Remember:
• Multicollinearity makes XᵀX ill-conditioned or singular.
• Coefficient estimates can have high variance and be unstable.
• Prediction may remain reasonable even when individual coefficients are poorly determined.
Exam tip:
Identify the governing definition or theorem first, write the formula, substitute the given values, and check dimensions/signs before selecting the option.