Penerapan dalam

Model Linear
RESPONSI TEORI STATISTIKA KE -14
Outline




Ordinary Least Square

𝛽 = 𝑎𝑟𝑔𝑚𝑖𝑛( 𝜖 2)
𝑖=1
𝜖~iid
Penduga Kemungkinan Likelihood
L 𝜃𝑦
𝐿 𝜃𝑦 𝜕𝑙 𝜃𝑦
=0
𝜕𝜃
𝑙 𝜃𝑦
𝜕 𝑙 𝜃
2 𝑦
<0
𝜕𝜃 2

𝑙 𝜃𝑦
Generalized Linear Model
𝜀 𝜀 ≁ 𝑁 0, 𝜎 2 → 𝑏𝑖𝑠𝑎 𝑗𝑎𝑑𝑖 → 𝑌 ≁ 𝑁 𝑥𝛽, 𝜎 2

•
•
•
•
•
•
Newton Raphson
𝑌~𝑓 𝑦 𝜃
𝑛

𝐿 𝜃 = 𝑓 𝑦𝑖 𝜃
𝑖=1
𝑙 𝜃 = log 𝐿 𝜃 𝑦

𝑡+1 −1
𝜃 = 𝜃 (𝑡) + −𝑙 ′′ 𝜃 𝑡 𝑙′ 𝜃 𝑡
Regresi Poisson
𝑌𝑖 ~𝑃𝑜𝑖𝑠𝑠𝑜𝑛 𝜆𝑖
Fungsi penghubung :
log 𝜆𝑖 = 𝛽0 + 𝛽1 𝑥𝑖1 + ⋯ + 𝛽𝑝 𝑥𝑖𝑝
Sehingga,
𝜆𝑖 = 𝑒 (𝛽0 +𝛽1𝑥𝑖1+⋯+𝛽𝑝 𝑥𝑖𝑝 )
Likelihood :
𝑦 𝜆
𝑛 𝜆𝑖 𝑖 𝑒 𝑖
𝐿 𝜷 = 𝑖=1 𝑦 !
𝑖

𝑛 𝑛 𝑝 𝑝
𝑙 𝛽 = 𝑖=1 𝑦𝑖 log 𝜆𝑖 − 𝜆𝑖 − log 𝑦𝑖 ! = 𝑖=1 𝑦𝑖 𝑗=0 𝛽𝑗 𝑥𝑖𝑗 − exp 𝑗=0 𝛽𝑗 𝑥𝑖𝑗 − log 𝑦𝑖 !
Regresi Poisson
𝜕𝑙 𝑛 𝑝
= 𝑖=1 𝑌𝑖 𝑥𝑖𝑚 − 𝑥𝑖𝑚 exp 𝑗=0 𝛽𝑗 𝑥𝑖𝑗
𝜕𝛽𝑚

𝑛 𝑝
= 𝑖=1 𝑥𝑖𝑚 𝑌𝑖 − exp 𝑗=0 𝛽𝑗 𝑥𝑖𝑗

𝜕2 𝑙 𝑛 𝑝
=− 𝑖=1 𝑥𝑖𝑚 𝑥𝑖𝑙 exp 𝑗=0 𝛽𝑗 𝑥𝑖𝑗
𝜕𝛽𝑚 𝛽𝑙
𝑝 𝑝
Definisikan matriks 𝑊 = 𝑑𝑖𝑎𝑔 exp 𝑗=0 𝛽𝑗 𝑥1𝑗 , … , exp 𝑗=0 𝛽𝑗 𝑥𝑛𝑗

𝜆 = exp 𝑋𝛽
𝑙′ = 𝑋 𝑇 (𝑌 − 𝜆)
𝑙′′ = −𝑋 𝑇 𝑊𝑋
Newton- Raphson
𝑡+1 −1 ′ −1 𝑇
𝛽 = 𝛽 (𝑡) + −𝑙′′ 𝛽 𝑡
𝑙 𝛽 𝑡
= 𝛽 (𝑡) + 𝑋 𝑇 𝑊 (𝑡) 𝑋 𝑋 (𝑌 − 𝜆(𝑡) )
Latihan Soal
𝑓 𝑥 𝜃 = 1 + 𝜃 𝑥𝜃
𝑋

𝑥 = 0.1, 0.2, 0.3, 0.4, 0.5

𝜃
𝜃
Latihan Soal
𝑌 𝑋
𝑌𝑖 = 𝜃𝑋𝑖2 + 𝜖𝑖
𝑋 𝜖𝑖 ~𝑁 0, 𝜎 2
𝜃
𝜃
Latihan Soal
𝑥𝑖 , 𝑌𝑖 , 𝑖 = 1, 2, 3, … , 𝑛
𝑥𝑖 𝑌𝑖

𝑌𝑖 ~𝑃𝑜𝑖𝑠𝑠𝑜𝑛 𝜃𝑥𝑖
𝜃