ISYE6414 Summer 2009 Exam II

Dr. Kobi Abayomi July 6, 2009

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Assume i = 1...4 • Yi = β0 + β1 Xi1 + β2 Xi1 Xi2 + • logYi = β0 + β1 Xi1 + β2 Xi2 + i i 2 • Yi = β1 Xi1 + β2 Xi2 + β3 Xi1 + i √ • Yi = β0 + β1 Xi1 + β2 logXi2 + i 2 .1 ˆ Set up the design matrix X and coefficient estimators β for each of the following.

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then 1/2 -1/2  -1/2 3/2 = -1/2 1/2   -1/2 1/2  1/2   (xT x)−1 ˆ ˆ Compute β.  75  -50   y=  25  -25 If you set up the design matrix the way I have in mind.  Indep. Independent) For this data i = 1. Compute the predicted value of profit-loss for a Republican and give the associated prediction interval. Republican.   z=  Indep.. Y. ˆ. 4 ..  Rep.4:  Dem. Let Z be a categorical variable indicating membership in a political party: Z = (Democrat.2 Let Y be the profit/loss for a particular investment.

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and why? Compute SSR(X2 . X2 ) = 1 what do you think SSR(X2 ) equals? 6 . If Corr(X1 . X2 . X3 Source SS df MS F SSR 500 SSR(X1 ) 350 1 SSR(X2 |X1 ) 75 1 SSR(X3 |X1 . covariates would you include in a linear model for Y . X3 |X1 ).3 This is an ANOVA table for a regression of Y on three covariates X1 . including the F statistics. X2 ) 1 SSE 500 SST 1000 99 Fill in the missing values in the table. if any. Which.

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 Rep. Compute the leverages of the observations and the Cook’s distances.  Dem.  75  -50   y=  25  -25 If you set up the design matrix the way I have in mind.4 Remember Question 2.  Indep.   z=  Indep. then 1/2 -1/2  -1/2 3/2 = -1/2 1/2   -1/2 1/2  1/2   (xT x)−1 Compute the ‘Hat’ matrix and the P RESS statistic. Which of the observations have the greatest ‘residual effect’ ? Which of the observations have the greatest ‘leverage effect’ ? Why? 8 .

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Claim: (Y − Y(i) )T (Y − Y(i) ) = (β − β(i) )T XT X(β − β(i) ). • The AIC increases with the number of covariates.5 True or False and Short Answer: Show work/reasoning • Let the subscript (i) indicate that the estimate is calculated without the ith observaˆ ˆ ˆ ˆ ˆ ˆ ˆ ˆ tion. ˆ Short Answer: In Partial Least Squares regression (PLS) call Yk = ˆ ˆ Yk+l − Yk ? k j=1 ˆ βj Tj . but the BIC decreases with the number of covariates. What is 10 . • The ‘jackknife’ residual increases with the leverage.

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