Multi Variate Regression

Multivariate Linear Regression Models
Regression analysis is used to predict the value of one or

more responses from a set of predictors.
It can also be used to estimate the linear association between
the predictors and reponses.
Predictors can be continuous or categorical or a mixture of
both.
We rst revisit the multiple linear regression model for one
dependent variable and then move on to the case where more
than one response is measured on each sample unit.
521
Multiple Regression Analysis
Let z
1
, z
2
, ..., z
r
be a set of r predictors believed to be related
to a response variable Y .
The linear regression model for the jth sample unit has the
form
Y
j
=
0
+
1
z
j1
+
2
z
j2
+... +
r
z
jr
+
j
,
where is a random error and the
i
, i = 0, 1, ..., r are un-
known (and xed) regression coecients.

0
is the intercept and sometimes we write
0
z
j0
, where
z
j0
= 1 for all j.
We assume that
E(
j
) = 0, Var(
j
) =
2
, Cov(
j
,
k
) = 0 j = j.
522
Multiple Regression Analysis
With n independent observations, we can write one model for
each sample unit or we can organize everything into vectors
and matrices so that the model is now
Y = Z +
where Y is n1, Z is n(r+1), is (r+1)1 and is n1.
Cov() = E(
) =
2
I is an nn variance-covariance matrix
for the random errors and for Y.
Then,
E(Y) = Z, Cov(Y) =
2
I.
So far we have made no other assumptions about the distri-
bution of or Y.
523
Least Squares Estimation
One approach to estimating the vector is to choose
the value of that minimizes the sum of squared residuals
(YZ)
(YZ)
We use

to denote the least squares estimate of . The
formula is
= (Z
Z)
1
Z
Y.
Predicted values are

Y = Z
= HY where H = Z(Z
Z)
1
Z
is called the hat matrix.

The matrix H is idempotent, meaning that H
H = HH
= I.
524
Residuals
Residuals are computed as
= Y

Y = YZ
= YZ(Z
Z)
1
Z
Y = (I H)Y.
The residual sums of squares (or error sums of squares) is
= Y
(I H)
(I H)Y = Y
(I H)Y
525
Sums of squares
We can partition variability in y into variability due to changes
in predictors and variability due to random noise (eects
other than the predictors). The sum of squares decomposi-
tion is:
n
j=1
(y
j
y)
2
. .
Total SS
=
j
( y y)
2
. .
SSReg.
+
2
. .
SSError
.
The coecient of multiple determination is
R
2
=
SSR
SST
= 1
SSE
SST
.
R
2
indicates the proportion of the variability in the observed
responses that can be attributed to changes in the predictor
variables.
526
Properties of Estimators and Residuals
Under the general regression model described earlier and for
= (Z
Z)
1
Z
Y we have:
E(
) = , Cov(
) =
2
(Z
Z)
1
.
For residuals:
E() = 0, Cov() =
2
(I H), E(
) = (n r 1)
2
.
An unbiased estimate of
2
is
s
2
=

n (r +1)
=
Y
(I H)Y
n r 1
=
SSE
n r 1
527
Properties of Estimators and Residuals
If we assume that the n 1 vector N
n
(0,
2
I), then it
follows that
Y N
n
(Z,
2
I)
N
r+1
(,
2
(Z
Z)
1
).

is distributed independent of and furthermore
= (I H)y N(0,
2
(I H))
(n r 1)s
2
=
2
nr1
.
528
Condence Intervals
Estimating Cov() as

Cov(
) = s
2
(Z
Z)
1
, a 100(1 )%
condence region for is the set of values of that satisfy:
1
s
2
(
Z(
) (r +1)F
r+1,nr1
(),
where r +1 is the rank of Z.
Simultaneous condence intervals for any number of linear
combinations of the regression coecients are obtained as:
c

_
(r +1)F
r+1,nr1
()
_
s
2
c
(Z
Z)
1
c,
These are known as Schee condence intervals.
529
Inferences about the regression function at z
0
When z = z
0
= [1, z
01
, ..., z
0r
]
the response has conditional

mean E(Y
0
|z
0
) = z
An unbiased estimate is

Y
0
= z
with variance z
0
(Z
Z)
1
z
0
2
.
We might be interested in a condence interval for the mean
response at z = z
0
or in a prediction interval for a new ob-
servation Y
0
at z = z
0
.
530
Inferences about the regression function
A 100(1 )% condence interval for E(Y
0
|z
0
) = z
0
, the
expected response at z = z
0
, is given by
z
t
nr1
(/2)
_
z
0
(Z
Z)
1
z
0
s
2
.
A 100(1 )% condence region for E(Y
0
|z
0
) = z
0
, for all
z
0
in some region is obtained form the Schee method as
z

_
(r +1)F
r+1,nr1
()
_
z
0
(Z
Z)
1
z
0
s
2
.
531
Inferences about the regression function at z
0
If we wish to predict the value of a future observation Y
0
, we
need the variance of the prediction error Y
0
z
:
Var(Y
0
z
) =
2
+
2
z
0
(Z
Z)
1
z
0
=
2
(1 +z
0
(Z
Z)
1
z
0
).
Note that the uncertainty is higher when predicting a future
observation than when predicting the mean response at
z = z
0
.
Then, a 100(1 )% prediction interval for a future
observation at z = z
0
is given by
z
t
nr1
(/2)
_
(1 +z
0
(Z
Z)
1
z
0
)s
2
.
532
Multivariate Multiple Regression
We now extend the regression model to the situation where
we have measured m responses Y
1
, Y
2
, ..., Y
p
and the same set
of r predictors z
1
, z
2
, ..., z
r
on each sample unit.
Each response follows its own regression model:
Y
1
=
01
+
11
z
1
+... +
r1
z
r
+
1
Y
2
=
02
+
12
z
1
+... +
r2
z
r
+
2
.
.
.
.
.
.
Y
p
=
0p
+
1p
z
1
+... +
rp
z
r
+
p
= (
1
,
2
, . . . ,
p
)
has expectation 0 and variance matrix
pp
. The errors associated with dierent responses on the
same sample unit may have dierent variances and may be
correlated.
533
Suppose we have a sample of size n. As before, the design
matrix Z has dimension n (r +1). But now:
Y
nm
=
_
_
Y
11
Y
12
Y
1p
Y
21
Y
22
Y
2p
.
.
.
.
.
.
.
.
.
.
.
.
Y
n1
Y
n2
Y
np
_
_
=
_
Y
(1)
Y
(2)
Y
(p)
_
,
where Y
(i)
is the vector of n measurements of the ith variable.
Also,
(r+1)m
=
_
01

02

0m
11

12

1m
.
.
.
.
.
.
.
.
.
.
.
.
r1

r2

rm
_
_
=
_

(1)

(2)

(m)
_
,
where
(i)
are the (r +1) regression coecients in the model
for the ith variable.
534
Finally, the p ndimensional vectors of errors
(i)
, i = 1, ..., p
are also arranged in an n p matrix
=
_
11

12

1p
21

22

2p
.
.
.
.
.
.
.
.
.
n1

n2

np
_
_
=
_

(1)

(2)

(p)
_
=
_
2
.
.
.
n
_
_
,
where the pdimensional row vector
j
includes the residuals
for each of the p response variables for the j-th subject or
unit.
535
We can now formulate the multivariate multiple regression
model:
Y
np
= Z
n(r+1)
(r+1)p
+
np
,
E(
(i)
) = 0, Cov(
(i)
,
(k)
) =
ik
I, i, k = 1, 2, ..., p.
The m measurements on the jth sample unit have covariance
matrix but the n sample units are assumed to respond
independently.
Unknown parameters in the model are
(r+1)p
and the
elements of .
The design matrix Z has jth row
_
z
j0
z
j1
z
jr
_
, where
typically z
j0
= 1.
536
We estimate the regression coecients associated with the
ith response using only the measurements taken from the n
sample units for the ith variable. Using Least Squares and
with Z of full column rank:
(i)
= (Z
Z)
1
Z
Y
(i)
.
Collecting all univariate estimates into a matrix:
=
_

(1)

(2)

(p)
_
= (Z
Z)
1
Z
_
Y
(1)
Y
(2)
Y
(p)
_
,
or equivalently

(r+1)p
= (Z
Z)
1
Z
Y .
537
The least squares estimator for minimizes the sums of
squares elements on the diagonal of the residual sum of
squares and crossproducts matrix (Y Z
(Y Z
) =
_
_
(Y
(1)
Z
(1)
)
(Y
(1)
Z
(1)
) (Y
(1)
Z
(1)
)
(Y
(p)
Z
(p)
)
(Y
(2)
Z
(2)
)
(Y
(1)
Z
(1)
) (Y
(2)
Z
(2)
)
(Y
(p)
Z
(p)
)
.
.
.
.
.
.
(Y
(p)
Z
(p)
)
(Y
(1)
Z
(1)
) (Y
(p)
Z
(p)
)
(Y
(p)
Z
(p)
)
_
_
,
Consequently the matrix (Y Z
(Y Z
) has smallest
possible trace.
The generalized variance |(Y Z
(Y Z
)| is also minimized
by the least squares estimator
538
Using the least squares estimator for we can obtain
predicted values and compute residuals:
Y = Z
= Z(Z
Z)
1
Z
Y
= Y

Y = Y Z(Z
Z)
1
Z
Y = [I Z(Z
Z)
1
Z
]Y.
The usual decomposition into sums of squares and cross-
products can be shown to be:
Y
Y
. .
TotSSCP
=

Y
Y
. .
RegSSCP
+
..
ErrorSSCP
,
and the error sums of squares and cross-products can be
written as
= Y
Y

Y
Y = Y
[I Z(Z
Z)
1
Z
]Y
539
Propeties of Estimators
For the multivariate regression model and with Z of full rank
r +1 < n:
E(
) = , Cov(
(i)
,
(k)
) =
ik
(Z
Z)
1
, i, k = 1, ..., p.
Estimated residuals
(i)
satisfy E(
(i)
) = 0 and
E(
(i)
(k)
) = (n r 1)
ik
,
and therefore
E() = 0, E(
) = (n r 1).

and the residuals are uncorrelated.
540
Prediction
For a given set of predictors z
0
=
_
1 z
01
z
0r
_
we can
simultaneously estimate the mean responses z
0
for all p
response variables as z
.
The least squares estimator for the mean responses is
unbiased: E(z
) = z
0
.
The estimation errors z
(i)
z
(i)
and z
(k)
z
(k)
for
the ith and kth response variables have covariances
E[z
0
(
(i)
(i)
)(
(k)
(k)
)
z
0
] = z
0
[E(
(i)
(i)
)(
(k)
(k)
)
]z
0
=
ik
z
0
(Z
Z)
1
z
0
.
541
Prediction
A single observation at z = z
0
can also be estimated un-
biasedly by z
but the forecast errors (Y

0i
z
(i)
) and
(Y
0k
z
(k)
) may be correlated
E(Y
0i
z
(i)
)(Y
0k
z
(k)
)
= E(
(0i)
z
0
(
(i)
(i)
))(
(0k)
z
0
(
(k)
(k)
))
= E(
(0i)
(0k)
) +z
0
E(
(i)
(i)
)(
(k)
(k)
)z
0
=
ik
(1 +z
0
(Z
Z)
1
z
0
).
542
Likelihood Ratio Tests
If in the multivariate regression model we assume that
N
p
(0, ) and if rank(Z) = r +1 and n (r +1) +p,
then the least squares estimator is the MLE of and has a
normal distribution with
E(
) = , Cov(
(i)
,

(k)
) =
ik
(Z
Z)
1
.
The MLE of is
=
1
n
=
1
n
(Y Z
(Y Z
).
The sampling distribution of n
is W
p,nr1
().
543
Computations to obtain the least squares estimator (MLE)
of the regression coecients in the multivariate multiple re-
gression model are no more dicult than for the univariate
multiple regression model, since the

(i)
are obtained one at
a time.
The same set of predictors must be used for all p response
variables.
Goodness of t of the model and model diagnostics are
usually carried out for one regression model at a time.
544
As in the case of the univariate model, we can construct a
likelihood ratio test to decide whether a set of rq predictors
z
q+1
, z
q+2
, ..., z
r
is associated with the m responses.
The appropriate hypothesis is
H
0
:
(2)
= 0, where =
_

(1),(q+1)p
(2),(rq)p
_
.
If we set Z =
_
Z
(1),n(q+1)
Z
(2),n(rq)
_
, then
E(Y ) = Z
(1)
(1)
+Z
(2)
(2)
.
545
Under H
0
, Y = Z
(1)
(1)
+. The likelihood ratio test consists
in rejecting H
0
if is small where
=
max
(1)
,
L(
(1)
, )
max
,
L(, )
=
L(
(1)
,

1
)
L(
,

)
=
_
|
|
|
1
|
_
n/2
Equivalently, we reject H
0
for large values of
2ln = nln
_
|
|
|
1
|
_
= nln
|n
|
|n
+n(

)|
.
546
For large n:
[nr1
1
2
(pr+q+1)] ln
_
|
|
|
1
|
_

2
p(rq)
, approximately.
As always, the degrees of freedom are equal to the dierence
in the number of free parameters under H
0
and under H
1
.
547
Other Tests
Most software (R/SAS) report values on test statistics such
as:
1. Wilks Lambda:
=
|
|
|
0
|
2. Pillais trace criterion: trace[(
0
)
1
]
3. Lawley-Hotellings trace: trace[(
0
)
1
]
4. Roys Maximum Root test: largest eigenvalue of

1
Note that Wilks Lambda is directly related to the Likelihood
Ratio test. Also,
=

p
i=1
(1+l
i
), where l
i
are the roots of
|
0
l(
0
)| = 0.
548
Distribution of Wilks Lambda
Let n
d
be the degrees of freedom of

, i.e. n
d
= n r 1.
Let j = r q + 1, r =
pj
2
1, and s =
_
p
2
j
2
4
p
2
+j
2
5
, and k =
n
d
1
2
(p j +1).
Then
1
1/s
1/s
ks r
pj
F
pj,ksr
The distribution is exact for p = 1 or p = 2 or for m = 1 or
p = 2. In other cases, it is approximate.
549
Note that
(Y Z
(1)
(1)
)
(Y Z
(1)
(1)
)(Y Z
(Y Z
) = n(
),
and therefore, the likelihood ratio test is also a test of extra
sums of squares and cross-products.
If

1

, then the extra predictors do not contribute to
reducing the size of the error sums of squares and crossprod-
ucts, this translates into a small value for 2ln and we fail
to reject H
0
.
550
Example-Exercise 7.25
Amitriptyline is an antidepressant suspected to have serious
side eects.
Data on Y
1
= total TCAD plasma level and Y
2
= amount
of the drug present in total plasma level were measured on
17 patients who overdosed on the drug. [We divided both
responses by 1000.]
Potential predictors are:
z
1
= gender (1 = female, 0 = male)
z
2
= amount of antidepressant taken at time of overdose
z
3
= PR wave measurements
z
4
= diastolic blood pressure
z
5
= QRS wave measurement.
551
We rst t a full multivariate regression model, with all ve
predictors. We then t a reduced model, with only z
1
, z
2
,
and performed a Likelihood ratio test to decide if z
3
, z
4
, z
5
contribute information about the two response variables that
is not provided by z
1
and z
2
.
From the output:
=
1
17
_
0.87 0.7657
0.7657 0.9407
_
,

1
=
1
17
_
1.8004 1.5462
1.5462 1.6207
_
.
552
We wish to test H
0
:
3
=
4
=
5
= 0 against H
1
: at least
one of them is not zero, using a likelihood ratio test with
= 0.05.
The two determinants are |
| = 0.0008 and |
1
| = 0.0018.
Then, for n = 17, p = 2, r = 5, q = 2 we have:
(n r 1
1
2
(p r +q +1)) ln
_
|
|
|
1
|
_
=
(17 5 1
1
2
(2 5 +2 +1)) ln
_
0.0008
0.0018
_
= 8.92.
553
The critical value is
2
2(52)
(0.05) = 12.59. Since 8.92 <
12.59 we fail to reject H
0
. The three last predictors do not
provide much information about changes in the means for the
two response variables beyond what gender and dose provide.
Note that we have used the MLEs of under the two hy-
potheses, meaning, we use n as the divisor for the matrix of
sums of squares and cross-products of the errors. We do not
use the usual unbiased estimator, obtained by dividing the
matrix E (or W) by n r 1, the error degrees of freedom.
What we have not done but should: Before relying on
the results of these analyses, we should carefully inspect the
residuals and carry out the usual tests.
554
Prediction
If the model Y = Z + was t to the data and found to be
adequate, we can use it for prediction.
Suppose we wish to predict the mean response at some value
z
0
of the predictors. We know that
z
N
p
(z
0
, z
0
(Z
Z)
1
z
0
).
We can then compute a Hotelling T
2
statistic as
T
2
=
_
_
_
z
_
z
0
(Z
Z)
1
z
0
_
_
_
_
n
n r 1
_
1
_
_
_
z
_
z
0
(Z
Z)
1
z
0
_
_
_.
555
Condence Ellipsoids and Intervals
Then, a 100(1 )% CR for x
0
is given by all z
0
that
satisfy
(z
0
)
_
n
n r 1
_
1
(z
0
)
z
0
(Z
Z)
1
z
0
__
p(n r 1)
n r p
_
F
p,nrp
()
_
.
The simultaneous 100(1 )% condence intervals for the
means of each response E(Y
i
) = z
(i)
, i=1,2,...,p, are
z
(i)
_
_
p(n r 1)
n r p
_
F
p,nrp
()
0
(Z
Z)
1
z
0
_
n
n r 1

ii
_
.
556
We might also be interested in predicting (forecasting) a sin-
gle pdimensional response at z = z
0
or Y
0
= z
0
+
0
.
The point predictor of Y
0
is still z
.
The forecast error
Y
0
z
= (z
)+
0
is distributed as N
p
(0, (1+z
0
(Z
Z)
1
z
0
)).
The 100(1)% prediction ellipsoid consists of all values of
Y
0
such that
(Y
0
z
_
n
n r 1
_
1
(Y
0
z
)
(1 +z
0
(Z
Z)
1
z
0
)
__
p(n r 1)
n r p
_
F
p,nrp
()
_
.
557
The simultaneous prediction intervals for the p response vari-
ables are
z
(i)
_
_
p(n r 1)
n r p
_
F
p,nrp
()
(1 +z
0
(Z
Z)
1
z
0
)
_
n
n r 1

ii
_
,
where

(i)
is the ith column of

(estimated regression coef-
cients corresponding to the ith variable), and
ii
is the ith
diagonal element of

.
558
Example - Exercise 7.25 (contd)
We consider the reduced model with r = 2 predictors for
p = 2 responses we tted earlier.
We are interested in the 95% condence ellipsoid for E(Y
01
, Y
02
)
for women (z
01
= 1) who have taken an overdose of the drug
equal to 1,000 units (z
02
= 1000).
From our previous results we know that:
=
_
_
0.0567 0.2413
0.5071 0.6063
0.00033 0.00032
_
_ ,

=
_
0.1059 0.0910
0.0910 0.0953
_
.
SAS IML code to compute the various pieces of the CR is
given next.
559
proc iml ; reset noprint ;
n = 17 ; p = 2 ; r = 2 ;
tmp = j(n,1,1) ;
use one ;
read all var{z1 z2} into ztemp ;
close one ;
Z = tmp||ztemp ;
z0 = {1, 1, 1000} ;
ZpZinv = inv(Z*Z) ; z0ZpZz0 = z0*ZpZinv*z0 ;
560
betahat = {0.0567 -0.2413, 0.5071 0.6063, 0.00033 0.00032} ;
sigmahat = {0.1059 0.0910, 0.0910 0.0953};
betahatz0 = betahat*z0 ;
scale = n / (n-r-1) ;
varinv = inv(sigmahat)/scale ;
print z0ZpZz0 ;
print betahatz0 ;
print varinv ;
quit ;
561
From the output, we get: z
0
(Z
Z)
1
z
0
= 0.100645,
z
=
_
0.8938
0.685
_
,
_
n
n r 1
_
1
=
_
43.33 41.37
41.37 48.15
_
.
Further, p(n r 1)/(n r p) = 2.1538 and F
2,13
(0.05) =
3.81.
Therefore, the 95% condence ellipsoid for z
0
is given by
all values of z
0
that satisfy
(z
0

_
0.8938
0.685
_
)
_
43.33 41.37
41.37 48.15
_
(z
0

_
0.8938
0.685
_
)
0.100645(2.1538 3.81).
562
The simultaneous condence intervals for each of the ex-
pected responses are given by:
0.8938
2.1538 3.81
_
0.100645 (17/14) 0.1059
= 0.8938 0.3259
0.685
2.1538 3.81
_
0.100645 (17/14) 0.0953
= 0.685 0.309,
for E(Y
01
) and E(Y
02
), respectively.
Note: If we had been using s
ii
(computed as the i, ith element
of E over n r 1) instead of
ii
as an estimator of
ii
, we
would not be multiplying by 17 and dividing by 14 in the
expression above.
563
If we wish to construct simultaneous condence intervals
for a single response at z = z
0
we just have to use (1 +
z
0
(Z
Z)
1
z
0
) instead of z
0
(Z
Z)
1
z
0
. From the output, (1+
z
0
(Z
Z)
1
z
0
) = 1.100645 so that the 95% simultaneous con-
dence intervals for forecasts (Y
01
, Y
02
are given by
0.8938
2.1538 3.81
_
1.100645 (17/14) 0.1059
= 0.8938 1.078
0.685
2.1538 3.81
_
1.100645 (17/14) 0.0953
= 0.685 1.022.
As anticipated, the condence intervals for single forecasts
are wider than those for the mean responses at a same set
of values for the predictors.
564
ami$gender <- as.factor(ami$gender)
library(car)
fit.lm <- lm(cbind(TCAD, drug) ~ gender + antidepressant + PR + dBP
+ QRS, data = ami)
fit.manova <- Manova(fit.lm)
Type II MANOVA Tests: Pillai test statistic
Df test stat approx F num Df den Df Pr(>F)
gender 1 0.65521 9.5015 2 10 0.004873 **
antidepressant 1 0.69097 11.1795 2 10 0.002819 **
PR 1 0.34649 2.6509 2 10 0.119200
dBP 1 0.32381 2.3944 2 10 0.141361
QRS 1 0.29184 2.0606 2 10 0.178092
---
565
C <- matrix(c(0, 0, 0, 0 , 0, 0, 0, 0, 0, 1, 0, 0, 0, 1, 0, 0, 0, 1), nrow = 3)
newfit <- linearHypothesis(model = fit.lm, hypothesis.matrix = C)
Sum of squares and products for the hypothesis:
TCAD drug
TCAD 0.9303481 0.7805177
drug 0.7805177 0.6799484
Sum of squares and products for error:
TCAD drug
TCAD 0.8700083 0.7656765
drug 0.7656765 0.9407089
566
Multivariate Tests:
Pillai 3 0.6038599 1.585910 6 22 0.19830
Wilks 3 0.4405021 1.688991 6 20 0.17553
Hotelling-Lawley 3 1.1694286 1.754143 6 18 0.16574
Roy 3 1.0758181 3.944666 3 11 0.03906 *
---
Dropping predictors
fit1.lm <- update(fit.lm, .~ . - PR - dBP - QRS)
Coefficients:
TCAD drug
(Intercept) 0.0567201 -0.2413479
gender1 0.5070731 0.6063097
antidepressant 0.0003290 0.0003243
fit1.manova <- Manova(fit1.lm)
Type II MANOVA Tests: Pillai test statistic
gender 1 0.45366 5.3974 2 13 0.01966 *
antidepressant 1 0.77420 22.2866 2 13 6.298e-05 ***
567
Predict at a new covariate
new <- data.frame(gender = levels(ami$gender)[2], antidepressant = 1)
predict(fit1.lm, newdata = new)
TCAD drug
1 0.5641221 0.365286
fit2.lm <- update(fit.lm, .~ . - PR - dBP - QRS + gender:antidepressant)
568
Drop predictors, add interaction term
fit2.lm <- update(fit.lm, .~ . - PR - dBP - QRS + gender:antidepressant)
TCAD drug
1 0.4501314 0.2600822
569
anova.mlm(fit.lm, fit1.lm, test = "Wilks")
Analysis of Variance Table
Model 1: cbind(TCAD, drug) ~ gender + antidepressant + PR + dBP + QRS
Model 2: cbind(TCAD, drug) ~ gender + antidepressant
Res.Df Df Gen.var. Wilks approx F num Df den Df Pr(>F)
1 11 0.043803
2 14 3 0.051856 0.4405 1.689 6 20 0.1755
anova(fit2.lm, fit1.lm, test = "Wilks")
Analysis of Variance Table
Model 1: cbind(TCAD, drug) ~ gender + antidepressant + gender:antidepressant
Model 2: cbind(TCAD, drug) ~ gender + antidepressant
Res.Df Df Gen.var. Wilks approx F num Df den Df Pr(>F)
1 13 0.034850
2 14 1 0.051856 0.38945 9.4065 2 12 0.003489 **
---

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Multi Variate Regression

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Multivariate Linear Regression Models

Regression analysis is used to predict the value of one or

is called the hat matrix.

the response has conditional

has expectation 0 and variance matrix

but the forecast errors (Y

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