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STA 40 REGRE SSTON ANALySTIS
Unt-T Regression quation
Line of ereAsion
Xis dependont
y is dependent y is dopendent
X is mdepordot
’ ei- =at byx
whereN(0,2)iieh2
where No,r) it,2,- n
’ Kegeion Coesf.
Oxy
mtczCept
a
# Estmation - oLS
Case I I- y on X
æ1 d
y= a +b t
tE. -
} (Y-a-be; -
e ( Y -a-b*;) ’
=0
dE (; - a- be;) (-1)
da
(yY nat b2e;
- 2 (Y-a-b;),-(xe;)oW
a tb2ao;
Bouing (3)
y= a+ bse
Aa =-b +y tmator.
1e;-*) (J;-)
Cov (X,y)
for Regesbon on y
Case I
nd
bekOe byæbry 4 i
# Reladion is the
Coroelation Coeficient m
Where
ae Kna
betoe
CovCXY) y
Jvca Jv9) T, y
Cov (Xy)= Cxy,Cxy
from -9
Sni laxg
Mutiply Cqation 9)4 10)
bxy byg
t by byx
Kemark CoeAf iciont mut be
DHe Sin of Tke regreion
Sane
egelsion oe4icient e byx (Say) is
2 T4 one ne oheL
olner grelion Coeciet
the
Joeat tham 1them
We hae Know I=tby bxy
pooof h
both Sides
Snuatirg
bye by
hn Os21voa
We Know-LI
hon byx bry 21
bye L
brt
egdesSon ie. aheamee it is
leeticiets.
positivg Codelated.
we Sax that e y ale
M *4 axe the egoe13ion Coet icie nt havng the
existonce of he Coelatian
opposit Sim, henthe
does no exist 0t We
the
estimatieg he eesm CoeAficiens wo
Ae
te Cofidence rtoL Val
hyjio-thesis md
hy0o-hesu Contoyct
esinate the 2
Coeficjeut
Gnsider te egressin
Remarki B1 byx ae degreiliom
4 BE
PavonnetRS moclel -D
;th Rosidual
he Square at the
(Y -(9-B
SSR
Sxx 2 Sxy Sxy.
Sxx
SSp
We KnoÜn Do proof fron Bok
monogomaug
((3o0k &
Ragrsion Avayai)
+ Anolybis Vaicmte i bgRlions.
test syniticonce of
14 is aed to
paditioning
Variale y.
Vaiability n -he desponse
he total
Squaring boh sideb
(Y-%)
(y-9) CY, )+ (;-+ 2(Y;-9)
lakng mmation
regesion esickas follao he nomal
n Sinple Linca 4vauance o,e: v Co,)
ditibution coh mean o
Tp 2siduals are
coN(X1e) -;-I)(e;-e) deendent foo
-Ia,e;-e;
SS = SSp t SSe
Total aiaality is equal to egresim Sum af
Square t escdual &Nn of SAuare.
Degree of
Degree freedom h he total Son of Syraue Css.
nab dee cf ee clom -> df,= beaue
feedom is Lost as eyt of constaat
L dogaee of Y;ù, e odel
Z9-) on the douiaFion degoee eedom dea
Sum) of square hes cteeg
detcmed, 1 palowtn
becase SSp is omplelely
Ê, Eoror Swnm of
of Squaxe
Squaxe or osical Sum ap
Tomaly (
Squaie Sse has degeee of ftedom dfe = m-2 becaue
test he hyothesis
,We Kna
Sse = (n2) mseN y
mder Ho SSp |CMSp)
t Ho ,H, 1
ANOVA TASLE
.No. Soce of df SS mS.-Ratio
valiation
Rogvesjor MSp-SSp
2 M-2 SSe
3 Total
given gresion model is Sgriicant for the goen
Hoi Tie
datu set
goesaion model is not cignificont
H:he quen
I (-)
Whele Ss,
29l]202c4 ad te cest i
n
slope nd
Cabuct, Confidonce mtaval
Tn
In order to
nd to pertorm et of Hothesy abut the palametl
we Wae to
Simple Uneaz dego elsin model
madel
n the hot the' mael
orior e:
make Gdditonal amion
nozmally ditbutd wa! as mdeendtnty
are 4 contant
Contant auone
ariante
ith man o 4
nd rdoti Caly
Whens? is mknan
t t he Hypothoss tht tne slope
-’ Cae (A) it To 4 appopiate ypotte)
Couals a coutant ie Bo
aIe
B is a Lmear eombimotien of 4ho obJerVatien Ri Se
nlin
hat 4 is morrnaly dittbutd
Noiante lsa. , Sry
Sk
Routs
Z . X; - C;
Se S
hane e Sho vat B is a Lmeal Com bimatlen
Hee
a)smmption.
Sxu
Seu
S
Sxx Sre
A.s mbiateg estmatoY of B,.
lecê):
’for Voionle
alonce o Sunn s Jat
8; is the um Cortelatd
2
Vo(B) /se
Case (B)
NazcÂ) Na (9) + *, Vaz (ß,).o
-2Cey, è)
e2
Sre
Var( So ) -
Nas, we tnd he meam of (8o)
Uene
+ Tst and odene tval Regrein poiomy
(B 4 Bo) i
ease 1 in
Let us Conbider SLR
A
- E NN(o,y
EB)= B, 4 ECB.) e Bo
ond
Hoi Bi= 1o Ho Bo =
BooStr
Test tatisties mer Ho
B,- Bio B,-Bio
A
A
Bo- Bo Bo- Poo
~wlo,1)
Rcisic) i
Reject Ho if Reject b at d level of sigaif kacn
of z.l > Z
|2\ > Zd
Conidence mtovel i
0 h e loo(i-c)/: Corfidete Trvel
Obtauned by ng z Statisaies
B,- B
S2
V)he
at Obtained
(oo \(t-)y.
Bo Io
(t-a)y.
(-a)
y
cng
Contidente Contldene
ZoCon
StatistHcS Trtr
KtVal Ual nteval
for
B,
Bo is
Bo
is CombQ
when s is nknno
Case 2
SSp
Ho B =Bo
H,: 8, +Bo
let statisties
t
Nt(m)
t = Bo-o
B,-Boo
m2 (
slas
aves mote an
mcdel -that
me Reaqreion ialdle Cald ay
JoeAr o mbno wde nt
mutie neal
maa Yeyt f LRM
Simple inea Ro m, 80
bdel.
ereuted mtiolo Lnear Regteksios
n ohleNtiau
let us on Sidox ata haunA and
Resense vaiable
Pal n a dejendent 4 ,R2- p, Shese
mdepen do n+ Nariabloc that is k,
P
Repöeseed a follaw i
hseTVadios aze
Coêticiewt 4 SoeAime Say Qreiom coetticie mt
he iamet pepot he Expectal chonge n 'due
Covid as Cotor
Pege Vaiaale e (J+) e
aNe Called
aled pazti al Regression oeHi iert:
ontn
’Ihe above modo com b
Coefticent b
Nao cee esimate ne degcession
Least Square methodS.
wng Squae
Residual Swn of
fiost e find
2
;Bo- )
of RegresAioy Coatieiemt
estmate
ond 4ne Least sguoie
Stisfied 4he foteung onclitioys
must be
Bo
Smta e abole eqn 4 we gethe Aormal eguatian
Squae
The Go) of Noal eauctionse the tast
6l2)2024
he muipe egreyon mabl Con be erprels m
lhe MuHipio tegression model 1 S u
/x41)
Bo
here
Pp
# Least Square estmation;
fo odol
( )(y- xp)3
syy-yx - B'y+ xp
a matoix of Salax of order (ix)) So s
xy is
( x ) is ne Sme
-tscnAsose is
AJow
applied least Square oNet
Na we
OSCP)y 4 29x'x -0
2xy
2Bx'x =
(xTx)
9.
ols et mate f
iskhe ale hsel imea mceent
St pegossos ( Trnp vauable)
matix X,s a
theide nok Colmm od
Coluw, So imis Cas
l'near Connbinatim of otheL
Orist, oheoise mot
Bmot enist pegressor ale
Not Uncay mdopendonti
Romaki
D Xx is P)x (PH) S/mnetic mtix.
xy s (9)x L Caluwm
element
ostaed Value of frtte Values.
The octor af
He Obseed alue ; is
to
Coreprndn
y= x =x((xx)" xy)
x(TxxTy
Ahere H X(xTx) x be the Hat Matrix" tho
cidex f matoix s (mxY).
Diognal
-Tie elewent of Hat mattix nave tmevr vatues bekuenr
allays 4 tneu Summ is P that is ot h; l
2 h;; P whene pis the degteSion palametel wy
intcept tem.
Mathomatical Poopeties of hat matNy a
0 Hx = X
Psf he knano 4hat H xxTx) x.T
XI = X provesl.
2 (I- H) X=0
Proy (I- X(xTy)x)x X- HX
H H* H
Chen 4hat HTH= (x(*x'x)'(x(x*)"x)
- x(x(x1x))T(x(*tx)
3ba.X(xTx)xT
H
predicte aue4 Reidual bue
Couc y,y- y)
y Cov (9.@)= Cou C HY, (t- H)Y) Cov(y,-y}
CovE , H)
Cov (H1, 1)- Cov ( HY3 H)
- H CoU ( Wy) - Va(Ht)
HvazlY) - HVal la)
The elements H ale
hin
His a Symmecig MatT,
9 Te diagonal elemert
lewtage af im caes.
clutonce of
vaionee f
hi, he Smawer
ne Lage Value
fHed yalue CPsedickd)
bl) Ohkequedl
IRe dit. esdual.
blue is eMeled a
tebic e - / e y-ó
- y- x(T'xty
H
le 90-H))
Testmate enor o B 3-9
«Tx)xT (XB4e)-9
(x)xTxß+ (xtx)xTe-g
IB+ (Xx)'xTe-8
S mon StochaStic im Matue
let ws Supse (tx
ditibtd
CoutatVanicnce g?ie eCe) -0
E(B-B) = E( CxT x) xe)
A
’ E(Ô)=
’ Cov(x ) = Cov CX, x) -
