In mathematics, a moment matrix is a special symmetric square matrix whose rows and columns are indexed by monomials. The entries of the matrix depend on the product of the indexing monomials only (cf. Hankel matrices.)
Application in regression
A multiple linear regression model can be written as
where is the explained variable, are the explanatory variables, is the error, and are unknown coefficients to be estimated. Given observations , we have a system of linear equations that can be expressed in matrix notation.
where and are each a vector of dimension , is the design matrix of order , and is a vector of dimension . Under the Gauss–Markov assumptions, the best linear unbiased estimator of is the linear least squares estimator , involving the two moment matrices and defined as
where is a square matrix of dimension , and is a vector of dimension .