Simple regression formulae

b1 =

(Xi X)(Yi Y )
P
(Xi X)2

b0 = Y b 1 X

2
(Xi X)2

Var(b1 ) = P

Var(b0 ) =

X
Cov(b0 , b1 ) = P(X
X)2

h )
2 {Yh } = Var(Y
=

Xh

1
n

(Yi Yi )2

(Xh X)
+P

tn2,1/2
|b1 |

(Xi X)2

SSR = b21

appropriate s.e.

(valid approximation if

b21

(Xi X)2

1
n

X
(Xi X)2

+P

(Xi X)2 =

(Yi Y )2
P
(Yi Y ) 2

2 {pred} = Var(Y
 h Yh )

t2 s 2

SSTO =

SSE =

1+

1
n

(Xh X)
+P

(Xi X)2

Working-Hotelling coefficient:

is small)

W =

2F2,n2;1

Regression in matrix terms

Cov(X) = E[(X EX)(X EX)0 ]
= E(XX0 ) (EX)(EX)0

Cov(AX) = ACov(X)A0

b = (X0 X)1 X0 Y

Cov(b) = 2 (X0 X)1

= Xb = HY
Y

= (I H)Y
e=YY

H = X(X0 X)1 X0

SSR = Y 0 (H n1 J)Y

SSE = Y 0 (I H)Y

SSTO = Y 0 (I n1 J)Y

2 {Yh } = Var(Yh )
= 2 X0h (X0 X)1 Xh

2 {pred} = Var(Yh Yh )
= 2 (1 + X0h (X0 X)1 Xh )

M SE
2
Radj
= 1 (n 1) SST
O