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A lecture on regression and sample correlation of Descriptive and Inferential statistics.

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Lecture 10

REGRESSION AND SAMPLE

CORRELATION

Predrag Spasojevic

DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14

INTRODUCTION

• Many engineering and scientific problems are concerned with

determining a relationship between a set of variables.

• For example: chemical process, interest relationship between:

the output of the process,

the temperature at which it occurs,

** the amount of catalyst employed.
**

• Knowledge of such a relationship would enable us to predict

the output for various values of temperature and amount of

catalyst.

i = 1. for some constants β0. . . .called independent variables • The simplest type of relationship is a linear relationship. βr would hold the equation Y = β0 + β1x1 + · · · + βr xr • (1) If this was the relationship between Y and the xi . there is a single response variable Y . That is. then possible (once the βi were learned) to exactly predict the response for any set of input values.the dependent variable. r. .DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LINEAR REGRESSION LINE • In many situations. . xr . . . depends on the value of a set of input x1. . . . . . . β1.

the most that one can expect is that Equation 1 would be valid subject to random error. having mean 0. i. v.DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LINEAR REGRESSION LINE • In practice. . such precision is almost never attainable.e • The explicit relationship is: Y = β0 + β1x1 +· · ·+βr xr + e (2) where e. representing the random error is assumed to be a r. • This relationship is called a linear regression equation.

β1. βr are called the regression coefficients. . . • Simple regression equation is a regression equation containing a single independent variable x (input level) Y = α + βx + e Y is the response and e representing the random error. • The quantities β0. . is a random variable having mean 0 and variation σ². xr . . and must usually be estimated from a set of data. .DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LINEAR REGRESSION LINE • Linear regression equation describes the regression of Y on the set of independent variables x1. . . . .

to x. 10. i x i yi i xi yi 1 100 45 6 150 68 2 110 52 7 160 75 3 120 54 8 170 76 4 130 63 5 140 9 180 92 62 10 190 88 . the temperature at which the experiment was run. yi).DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LINEAR REGRESSION LINE • EX.. 1: Consider the following 10 data pairs (xi.. relating y. i = 1. the percent yield of a laboratory experiment...

1.DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LINEAR REGRESSION LINE • A plot of yi versus xi — called a scatter diagram — is given in Fig. It seems that a simple linear regression model would be appropriate. .

. . .DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LEAST SQUARES ESTIMATORS OF THE REGRESSION PARAMETERS • Suppose: the responses Yi corresponding to the input values xi . i = 1. . n be observed and used to estimate α and β in a simple linear regression model. • If A is the estimator of α and B of β. so the squared difference is: (Yi − A + B xi )². . then the estimator of the response corresponding to the input variable xi would be: A + B xi . • The actual response is Yi.

• So. we differentiate SS first with respect to A and then to B as follows: .DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LEAST SQUARES ESTIMATORS OF THE REGRESSION PARAMETERS • The sum of the squared differences between the estimated responses and the actual response values—call it SS—is: n SS (Yi A xi ) 2 • i 1 The method of least squares: chooses as estimators of α and β the values of A and B that minimize SS. to determine these estimators.

DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LEAST SQUARES ESTIMATORS OF THE REGRESSION PARAMETERS • Setting these partial derivatives = zero yields the normal equations for the minimizing values A and B: .

DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LEAST SQUARES ESTIMATORS OF THE REGRESSION PARAMETERS • Let • By method of substitution first normal equation: Second normal equation: .

DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LEAST SQUARES ESTIMATORS OF THE REGRESSION PARAMETERS • by usual transformations of Second normal equation: • and the fact that .

. • straight line A + Bx is called the estimated regression line. . .DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LEAST SQUARES ESTIMATORS OF THE REGRESSION PARAMETERS • So we get the following proposition: • The least squares estimators of β and α corresponding to the data set xi . i = 1. Yi . n are. respectively. . .

DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LEAST SQUARES ESTIMATORS OF THE REGRESSION PARAMETERS • EX. Measurements of the relative humidity in the storage location the moisture content of a sample of the raw material were taken over 15 days with the following data (in percentages) resulting. 2: The raw material used in the production of a certain synthetic fiber is stored in a location without a humidity control. .

the estimated regression line of moisture content depending on relative humidity in the storage location will be the line from the following Figure.DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LEAST SQUARES ESTIMATORS OF THE REGRESSION PARAMETERS • Calculating least squares estimators by last proposition. .

DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 LEAST SQUARES ESTIMATORS OF THE REGRESSION PARAMETERS .

DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE COEFFICIENT OF DETERMINATION • Notation: If we let • the least squares estimators can be expressed as .

. . . . . . Yn is: • if all the Yi are equal — and thus are all equal to Y — then SYY would equal 0. . .DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE COEFFICIENT OF DETERMINATION • Suppose: we measure the amount of variation in the set of response values Y1. . xn. . Yn corresponding to the set of input values x1. . • A standard measure in statistics of the amount of variation in a set of values Y1. . .

DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE COEFFICIENT OF DETERMINATION • The variation in the values of the Yi arises from two factors: First: the input values xi are different. Second: the fact that even when the differences in the input values are taken into account. so the response variables Yi all have different mean values. each of the response variables Yi has variance σ² and thus will not exactly equal the predicted value at its input xi. .

DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE COEFFICIENT OF DETERMINATION • How much of the variation in the values of the response variables is due to the different input values? • How much is due to the inherent variance of the responses even when the input values are taken into account? • Answer: note that the quantity • measures the remaining amount of variation in the response values after the different input values taking into account. .

• The quantity R² defined by represents the proportion of the variation in the response variables that is explained by the different input values. .DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE COEFFICIENT OF DETERMINATION • Thus. SYY − SSR represents the amount of variation in the response variables that is explained by the different input values.

. • A value of R² near 0: little of the variation is explained by the different input values. • 0 ≤ R² ≤ 1. • The value of R² is an indicator of how well the regression model fits the data. and one near 0 indicating a poor fit.DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE COEFFICIENT OF DETERMINATION • R² is called the coefficient of determination. with a value near 1 indicating a good fit. • A value of R² near 1: most of the variation of the response data is explained by the different input values.

. .DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE SAMPLE CORRELATION COEFFICIENT • For all data set consists of the paired values (xi . • That statistic is called the sample correlation coefficient and defined by: . is obtained a statistic that can be used to measure the association between the individual values of a set of paired data. yi ). i =1. . . n.

the correlation is proportionate. then the correlation between the r. .DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE SAMPLE CORRELATION COEFFICIENT • The sample correlation coefficient is always between −1 and 1. • If correlation coefficient is negative value then the relationship is inverse or inversely proportional. • If |r|=1 . more the absolute value is closer to 1. • If correlation coefficient is positive value. • So. more stronger correlation.v’s X and Y is linearly perfect.

DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE SAMPLE CORRELATION COEFFICIENT .

. . of response values Y1. . • The sample correlation coefficient r of these data pairs in the notation of slide 17 is: • Upon using identity . Yi).DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE COEFFICIENT OF DETERMINATION AND THE SAMPLE CORRELATION COEFFICIENT • Consider data pairs (xi. . . xn . . i = 1. . n. Yn corresponding to the set of input values x1. . . . . .

• The sign of r is the same as that of B.DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE COEFFICIENT OF DETERMINATION AND THE SAMPLE CORRELATION COEFFICIENT • we see that: • So. • The above gives additional meaning to the sample correlation coefficient. .

That is. 81 percent of the variation in the response values is explained by the different input values. .DESCRIPTIVE AND INFERENTIAL STATISTICS – LECTURES – summer 2013/14 THE COEFFICIENT OF DETERMINATION AND THE SAMPLE CORRELATION COEFFICIENT • For instance. if a data set has its sample correlation coefficient r equal to 0.9² = 0.9. then this implies a simple linear regression model for these data explains 81 percent (since R² = 0.81) of the variation in the response values.

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