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  • n 2 n 0 1 2 p− 1 n×p 2 2 0 1 2 n 2 X − µ σ i n +1 (i)

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    1. The probability distribution of the coefficient of determination R^2 is sought under the null hypothesis that the regression coefficients β_1, β_2, ..., β_(p-1) are all equal to 0 in a linear model with regressors of rank r ≤ p. 2. The expected value of the standard normal order statistic X_(i) is shown to be (i+1)/n, where X_1, X_2, ..., X_n is a random sample from the normal distribution N(μ, σ^2). 3. An expression is given for the partial correlation coefficient ρij.kl in terms of other partial correlations.

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    1. The probability distribution of the coefficient of determination R^2 is sought under the null hypothesis that the regression coefficients β_1, β_2, ..., β_(p-1) are all equal to 0 in a linear model with regressors of rank r ≤ p. 2. The expected value of the standard normal order statistic X_(i) is shown to be (i+1)/n, where X_1, X_2, ..., X_n is a random sample from the normal distribution N(μ, σ^2). 3. An expression is given for the partial correlation coefficient ρij.kl in terms of other partial correlations.

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    4 views1 page

    n 2 n 0 1 2 p− 1 n×p 2 2 0 1 2 n 2 X − µ σ i n +1 (i)

    Uploaded by

    Soumya Dasgupta
    1. The probability distribution of the coefficient of determination R^2 is sought under the null hypothesis that the regression coefficients β_1, β_2, ..., β_(p-1) are all equal to 0 in a linear model with regressors of rank r ≤ p. 2. The expected value of the standard normal order statistic X_(i) is shown to be (i+1)/n, where X_1, X_2, ..., X_n is a random sample from the normal distribution N(μ, σ^2). 3. An expression is given for the partial correlation coefficient ρij.kl in terms of other partial correlations.

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    © All Rights Reserved
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    of 1

    Statistics-III – Assignment 7

    1. Consider testing for the usefulness of the regressors in a linear model,


    Y = Xβ + ǫ, ǫ ∼ Nn (0, σ 2 In ) with H0 : β1 = β2 = · · · = βp−1 = 0, where
    Xn×p has rank r ≤ p. Let R2 denote the coefficient of determination. Find
    the probability distribution of R2 under H0 .
    2.  Let 2
     X X−µ 2 , . . . , Xn be a random sample from N (µ, σ ). Show that
    1, X
    (i) i
    E Φ σ = n+1 , where X(i) is the ith order statistic.

    3. Show that
    ρij.k − ρil.k ρjl.k
    ρij.kl = r .
    
    1 − ρ2il.k 1 − ρ2jl.k

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