Assignment 2 Stat 378/502

The following must be completed by the student and submitted for marking by
Wednesday, 3 October 2018 at 11am.

1. Measures of Goodness of Fit

The F statistic is a ratio of sums of squares. The coefficient of determination–
i.e. the R2 value–is also written in terms of the sums of squares as
R2 := 1 − SSres /SStot . Show that R2 can be written as a monotonically
increasing function of the F statistic. That is, show that
F
R2 = ,
F +c
for some c ∈ R that does not depend on X or Y .

2. Confidence Intervals
Consider the simple linear regression model

y = a + bx + ε

where a, b, x, y ∈ R and ε ∼ N (0, σ 2 ) with a, b, σ 2 unknown. Assuming

we have collected a sample of n pairs (x1 , y1 ), . . . , (xn , yn ), construct
a size 1 − α confidence interval P
for a + 3b in terms of the data. For
simplicity, you can assume that ni=1 xi = 0.

3. Prediction Intervals
Consider the simple linear regression model

y = a + bx + ε

where a, b, x, y ∈ R and ε ∼ N (0, σ 2 ) with a, b, σ 2 unknown. Assuming

we have collected a sample of n pairs (x1 , y1 ), . . . , (xn , yn ), construct
a size 1 − α prediction interval for
Pna new value y given x = 4. For
simplicity, you can assume that i=1 xi = 0. (Note that you do not
need to re-derive results already found in the previous question.)

Created by Adam B Kashlak, Autumn 2018