University of California, Los Angeles Department of Statistics. Practice problems - simple regression 2 - solutions
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1 Uiversity of Califoria, Los Ageles Departmet of Statistics Statistics 00C Istructor: Nicolas Christou EXERCISE Aswer the followig questios: Practice problems - simple regressio - solutios a Suppose y, y,, y are idepedet radom variables ad y i µ ɛ i for i,,, Assume that Eɛ i 0, varɛ i, ad covɛ i, ɛ j 0 Fid the least squares estimate of µ Give the variace of this estimate We wat to miimize S y i µ wrt µ Therefore, S µ y i µ 0 Solve for µ to get ˆµ Ȳ Ad varȳ b Cosider the model y i β 0 β x i ɛ i Assume that Eɛ i 0, varɛ i, ad covɛ i, ɛ j 0 I additio, it is give that x i 0 What are the least squares estimates of β 0 ad β? If x 0 we get ˆβ x iy i, ad ˆβ 0 ȳ x i c We have show that ŷ i ca be expressed as ŷ i h ii y i j i h ijy j Use this expressio to fid varŷ i Sice Y, Y,, Y are idepedet we fid that varŷ i h ii j i h ij j h ij This is simplified as follows: varŷ i h ij j j x i xx j x x i x x i x x j x x i x x i xx j x x, ad after summig over j we get i x j x i x j x j x I x 0 i x x i x I x i x d Fid a expressio of corre i, e j i terms of h ii, h jj, h ij I homework, exercise 6 we foud that cove i, e j x i xx j x h ij I additio, from class x i x otes, vare i h ii ad vare j h jj Therefore, corre i, e j cove i, e j sde i sde j EXERCISE Aswer the followig questios: h ij h ii h jj h ij hii hjj a Cosider the model y i β 0 β x i ɛ i Assume that Eɛ i 0, varɛ i, ad covɛ i, ɛ j 0 Suppose we rescale the x values as x x α, ad we wat to fit the model y i β 0 β x i ɛ i Fid the least squares estimates of β 0 ad β The ew sample mea of x is x α Therefore, ˆβ will ot chage But ˆβ 0 ȳ ˆβ x α ȳ ˆβ x α ˆβ ˆβ 0 α ˆβ b Refer to the model y i β 0 β x i ɛ i of part a Fid the SSE of this model ad compare it to the SSE of the model y i β 0 β x i ɛ i What is your coclusio? SSE SST SSR Note: SST is the same We oly rescale x Will SSR chage? SSR ˆβ x i α x α SSR Therefore, SSE SSE c Cosider the simple regressio model y i β 0 β x i ɛ i, with Eɛ i 0, varɛ i, ad covɛ i, ɛ j 0 Show that ES Y Y β S XX, where S Y Y y i ȳ ad S XX x i x ES Y Y ESST ESSE ESSR E s e E ˆβ x i x
2 Es e x i x E ˆβ x i x var ˆβ E ˆβ x i x x i x β β d Refer to the model of part c Fid covɛ i, e i covɛ i, e i covɛ i, y i ȳ ˆβ x i x covɛ i, y i covɛ i, ȳ x i xcovɛ i, ˆβ i x i x x i x x i x x i x x i x EXERCISE 3 Cosider the simple regressio model y i β 0 β x i ɛ i, with Eɛ i 0, varɛ i, ad covɛ i, ɛ j 0 Also, assume that ɛ i N0, Suppose we wat to test simultaeously H 0 : β β ad β 0 β 0 H a : The hypothesis H 0 is ot true Aswer the followig questios: a I the expressio Q y i β0 β x i if we add ad subtract ˆβ 0 ad add ad subtract ˆβ x i show that Q y i ˆβ 0 ˆβ x i ˆβ 0 β0 ˆβ β x i x ˆβ 0 β0 ˆβ β Q Q y i β0 β x i yi β0 β x ˆβ 0 ˆβ 0 ˆβ x i ˆβ x i yi ˆβ 0 ˆβ x i ˆβ 0 β0 ˆβ β i x y i ˆβ 0 ˆβ x i ˆβ 0 β0 ˆβ β ˆβ 0 β 0 ˆβ β y i ˆβ 0 ˆβ x i this is zero because e i 0 y i ˆβ 0 ˆβ x i x i this is zero because e ix i 0 ˆβ 0 β0 ˆβ β x i x i but x i x y i ˆβ 0 ˆβ x i ˆβ 0 β0 ˆβ β x i x ˆβ 0 β0 ˆβ β b Let D ˆβ 0 ˆβ x Show that the radom variables ˆβ ad D are ucorrelated, ad explai why ˆβ ad D must therefore be idepedet CovD, ˆβ cov ˆβ 0 ˆβ x, ˆβ cov ˆβ 0, ˆβ xcov ˆβ 0, ˆβ x xi x 0 x xi x They are idepedet because they are bivariate ormal
3 c Show that the sum of the last three terms of i part a is equal to ˆβ β var ˆβ First let s fid vard D β 0 β x vard vard var ˆβ 0 ˆβ x var ˆβ 0 x var ˆβ xcov ˆβ 0, ˆβ Ad ow the proof: ˆβ β D β 0 β var ˆβ x vard ˆβ β ˆβ0 β0 ˆβ β x x i x ˆβ β x i x x x i x x x i x x x i x ˆβ 0 β0 x ˆβ β x ˆβ 0 β0 ˆβ β ˆβ β x i x ˆβ β ˆβ 0 β0 x ˆβ β x ˆβ 0 β0 ˆβ β ˆβ 0 β0 ˆβ β x i x ˆβ 0 β0 ˆβ β d If H 0 is true, what are the degrees of freedom of the radom variables ˆβ β var ˆβ Sice ˆβ N β, x i x D N β 0 β x, ad D β 0 β x vard? it follows that ˆβ β var ˆβ D β0 β x vard χ χ EXERCISE 4 Cosider the simple regressio model y i β 0 β x i ɛ i, with Eɛ i 0, varɛ i, ad covɛ i, ɛ j 0 Also, assume that ɛ i N0, Aswer the followig questios: a Fid EY i EY i vary i EY i β 0 β x i b Fid the distributio of Ȳ Ȳ Nβ 0 β x, c Fid EȲ EȲ varȳ EȲ β 0 β x d Fid cov ɛ i, ˆβ cov ɛ i, ˆβ cov ɛ i, j k jy j j k jcovɛ i, y j k i 0 Note: This is the same as cov y i, ˆβ covȳ, ˆβ covȳ, ˆβ 0 e Suppose EY i β 0 β x i, but that the Y i s are ot ecessarily idepedet or ormally distributed ad do ot ecessarily have equal variaces Are ˆβ 0 ad ˆβ ubiased estimators of β 0 ad β? Yes, ˆβ ad ˆβ 0 are still ubiased Takig expectatio of ˆβ ad ˆβ 0 does ot ivolve the idepedece assumptio
4 EXERCISE 5 Cosider the simple regressio model y i β 0 β x i ɛ i, with Eɛ i 0, varɛ i, ad covɛ i, ɛ j 0 Also, assume that ɛ i N0, I this umerical example, y represets the cocetratio of lead i ppm ad x represets the cocetratio of zic i ppm of soil at a particular area of iterest The sample size was 5 These data gave the followig results: y i ȳŷ i ȳ y i ȳ x i x 560 x i ȳ 64 Aswer the followig questios: a Fid ˆβ Aswer 098 b Fid ˆβ 0 Aswer c Compute s e Aswer 9696 d Compute the value of the F statistic i testig the hypothesis H 0 : β 0 H a : β 0 Aswer 3593 e Compute var ˆβ 0 Aswer EXERCISE 6 Cosider the simple regressio model y i β 0 β x i ɛ i, i,, with Eɛ i 0, varɛ i, covɛ i, ɛ j 0, ad ɛ i N0, Aswer the followig questios: a Fid Covŷ i, y i covŷ i, y i cov ȳ ˆβ x i x, y i covȳ, yi x i xcovy i, ˆβ x i x x i x b Fid Cov ɛ i, e i Sice e i 0, it follows that Cov ɛ i, 0 0 EXERCISE 7 Three variables N, D, ad Y, all have zero sample meas ad uit sample variaces A fourth variable is C N D I the regressio of C o Y, the slope is 08 I the regressio of C o N, the slope is 05 I the regressio of D o Y the slope is 04 What is the error sum of squares i the regressio of C o D? There are observatios C N D varc varn vard covn, D covn, D From the two simple regressios we have: covc,y vary covc, Y 08 But covc, Y covn D, Y covn, Y covd, Y Also, covc,n varn covc, N 05 But covc,ncovnd, NvarN covd,n05 covd, N 05 Therefore, varc 05 Also, covc, D covn D, D covn, D vard To fid the slope of the regressio of C o D: ˆβ covc,d vard 05 Fially, SSE SST SSR s C ˆβ S D SSE 5 EXERCISE 8 Aswer the followig questios: a Cosider the simple regressio model y i β 0 β x i ɛ i, i,, with Eɛ i 0, varɛ i, covɛ i, ɛ j 0, ad ɛ i N0, Show that the correlatio coefficiet betwee ˆβ 0 ad ˆβ x is x i corr ˆβ 0, ˆβ cov ˆβ 0, ˆβ sd ˆβ 0 sd ˆβ x x i x x x i x x i x
5 x x i x x i x x x i x x i x x x i b Refer to the model of part a Give that x 0, derive a F statistic for testig the hypothesis H 0 : β β 0 agaist the alterative H a : β β 0 Follow these steps: Fid the distributio of ˆβ ˆβ 0 This is Nβ β 0, var ˆβ var ˆβ 0 cov ˆβ, β 0 Ad also s e χ Usig ad we ca create a ratio that follows the F distributio with degrees of freedom,, which ca also be obtaied if we have used t EXERCISE 9 Access the followig data i R: a <- readtable" headertrue Aswer the followig questios: a Ru the regressio of textttcadmium o zic Attach the R output q <- lma$cadmium ~ a$zic summaryq Call: lmformula a$cadmium ~ a$zic Residuals: Mi Q Media 3Q Max Coefficiets: Estimate Std Error t value Pr> t Itercept e-06 *** a$zic < e-6 *** --- Sigif codes: 0?***? 000?**? 00?*? 005?? 0?? Residual stadard error: 47 o 53 degrees of freedom Multiple R-squared: 08394, Adjusted R-squared: F-statistic: 800 o ad 53 DF, p-value: < e-6 b Compute the leverage values leverage <- iflueceq$hat headleverage #List the first 6 leverage values: c Suppose the 0th observatio is deleted Give the formula that computes the ew ˆβ ad ˆβ 0 Use R to compute them ad attach the code The formula for computig ˆbeta after poit i is deleted is give by: ˆβ i ˆβ h ii x i xy i ȳ x i xy i ȳ ad ˆbeta 0 after poit i is deleted is give by: ˆβ 0 i ȳ i ˆβ i x i, where ȳ i ad x i are the sample meas of y ad x after observatio i is deleted from the data set
6 EXERCISE 0 Breast cacer mortality data: The data cotai breast cacer mortality y from 950 to 960 ad the adult white female populatios x i 960 for 30 couties i North Carolia, South Carolia, ad Georgia Access the data: a <- readtable" sep",", headertrue Aswer the followig questios: Costruct a scatterplot of y o x Ru the regressio through the origi of y o x 3 Check the assumptios 4 Now ru the regressio of y o sqrtx 5 Check the assumptio of the model of questio 5 #Breast cacer mortality data: #Read the data: a <- readtable" sep",", headertrue #See the ames of the variables: amesa #Plot y o x: plota$x, a$y We see o-costat variace #Ru the regressio of y o x without the itercept: q <- lma$y ~ a$x 0 #See summary of the regressio: summaryq #No-costat variace ca be detected with the followig two plots: #Residuals o fitted values: plotq$fitted, q$res #Residuals o x: plota$x, q$res #Oe suggestio is to trasform the variables take square roots: #Ru the regressio o the trasformed variables: q <- lmsqrta$y ~ sqrta$x 0 #See summary of the ew regressio: summaryq #Make some plots: #First scatterplot of the trasformed variables: plotsqrta$x, sqrta$y #The plot of residuals o fitted values of the regressio o the trasformed variables: plotq$fitted, q$res #Ad residuals o sqrtx: plotsqrta$x, q$res #These plots usig the trasformed variables showed that the variace is defiitely more costat tha before
University of California, Los Angeles Department of Statistics. Simple regression analysis
Uiversity of Califoria, Los Ageles Departmet of Statistics Statistics 100C Istructor: Nicolas Christou Simple regressio aalysis Itroductio: Regressio aalysis is a statistical method aimig at discoverig
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