Scribd Logo
Upload

Welcome to Scribd!

  • Multiple Linear Regression: MMA1402 - Regression and Time Series Modeling

    Uploaded by

    Kaneki Ken
    16 views18 pages
    This document discusses multiple linear regression, including estimating regression coefficients using the least squares method, interpreting the estimated coefficients, and constructing confidence and prediction intervals. It explains how to estimate the linear relationship between variables while holding other variables constant, test the significance of estimated coefficients, and predict outcomes for new observations based on the fitted regression model.

    Original Description:

    Original Title

    03-MLR-Estimation

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    This document discusses multiple linear regression, including estimating regression coefficients using the least squares method, interpreting the estimated coefficients, and constructing confidence and prediction intervals. It explains how to estimate the linear relationship between variables while holding other variables constant, test the significance of estimated coefficients, and predict outcomes for new observations based on the fitted regression model.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    16 views18 pages

    Multiple Linear Regression: MMA1402 - Regression and Time Series Modeling

    Uploaded by

    Kaneki Ken
    This document discusses multiple linear regression, including estimating regression coefficients using the least squares method, interpreting the estimated coefficients, and constructing confidence and prediction intervals. It explains how to estimate the linear relationship between variables while holding other variables constant, test the significance of estimated coefficients, and predict outcomes for new observations based on the fitted regression model.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 18

    Multiple linear regression

    (Estimation, Interpretation, confidence and prediction interval)


    MMA1402 - Regression and Time Series Modeling

    Nanang Susyanto
    Department of Mathematics, UGM
    Multiple Linear Regression

    “Is there a (linear) relationship between overhead and


    office size in the population while holding all other
    variates constant?”
    Normal MLR
    !! = #! $ + &! with &! ∼ , 0, / " , 0. 0. 2.
    • Distribution of ! = #$ + & is…

    • Var(&) is the covariance matrix of the error random vector &.


    Least squares estimation of !

    minimize the sum of squares of the errors


    Least squares estimation of !

    minimize the sum of squares of the errors


    Normal Equations

    Least squares estimate


    Maximum Likelihood Estimation

    • Likelihood function

    • Log-likelihood function
    Hat Matrix

    The vector of estimated mean values, or fitted values

    Hat Matrix
    • Symmetric

    • Idempotent
    Independence of
    fitted values and residuals
    "
    Distribution of !
    "!
    Distribution of !
    "!
    Interpretation of !
    Confidence interval for !!

    Example: Construct A 95% CI for $#


    Hypothesis test for !!

    Example: Test for significance of $#


    Confidence and Predicted Intervals

    Confidence Intervals for !!"# Predicted Intervals for "!"#


    What is the estimated mean An office is 1000 ft2, 12 years old,
    overhead for offices in the with 1300 clients and a col of
    population that are 1000 ft2, 12 1.02. What is the predicted
    years old, with 1300 clients and a overhead of that office?
    col of 1.02?
    Confidence Intervals
    Predicted Intervals

    You might also like