IGE Curso 2019/20

IGE 2019-20

Statistics II – Formula Sheet

Unit 1
Linear regression
k = ] of independent variables.

x2 − nx̄2 , y 2 − nȳ 2
P P P
• Sum of squares: SSxy = xy − nx̄ȳ, SSxx = SSyy = SST =
SSxy
• Correlation coefficient: r = p
SSxx SSyy
SSxy
• Regression line: b1 = and b0 = ȳ − b1 x̄.
SSxx
• SSE = sum of squares of errors = SSyy − b1 SSxy .

SSE s2e
• Standard errors: s2e = , s2b1 = .
n − (k + 1) SSxx
SSE SSR SSxy
• R squared: R2 = 1 − = , where SST = SSyy = SSR + SSE. R2 = b1 .
SST SST SSyy
n−1 SSE
• Adjusted R square: R̄2 = 1 −
n − (k + 1) SST
√
• Multiple R: R = R2 = r(y, ŷ)
√
bj − βj∗ R n−2
• Inference: t = , where H0 : βj = βj∗ , T = √
sbj 1 − R2
MSR SSR/k n − (k + 1) 1 − R2
• F-tests: F = = = · .
MSE SSE/(n − (k + 1)) k R2
(SSER − SSE)/`
F = , R = restricted model, ` = ] independent var. in H0 .
SSE/(n − (k + 1))
s
1 (x∗ − x̄)2
• Confidence intervals: βj ∈ bj ± tcrit · sbj y ∗ = E(y|x∗ ) ∈ ŷ ∗ ± tcrit · se +
n SSxx
s
∗ ∗ 1 (x∗ − x̄)2
• Prediction interval: y(x ) ∈ ŷ ± tcrit · se 1+ +
n SSxx

1
Unit 3
• One way ANOVA: SST = SSG + SSW, where k = ] groups, ni = ] observations in group i,
k
X
SSW = SSi , with SSi = sum of squares SSxx for the group i,
i=1

k
X
SSG = ¯ )2 ,
ni (x̄i − x̄ with ¯ = overall mean.
x̄
i=1
s
1 1
• Bonferroni’s method: check if |x̄i − x̄j | > tα/p MSW + , where p = k(k − 1)/2.
ni nj

• Two way ANOVA (one observation per cell): SST = SSB + SSG + SSE, where b = ]
blocks. X
SST = x2ij − nx̄
¯2 , with n = ]total observations,
i,j
X X
SSG = b x̄2col − nx̄
¯2 , and SSB = k x̄2row − nx̄
¯2 ,

• Two way ANOVA (more than one observation per cell): With the above formula for
SST, now it decomposes as SST = SSI + SSB + SSG + SSE, where b = ] blocks.
X X
SSG = b · r x̄2col − nx̄
¯2 , and SSB = k · r x̄2row − nx̄
¯2 ,
X
SSC = SSI + SSB + SSG = r x̄2cell −nx̄
¯2 , with r = ] replications (observations/cell).