Regression Estimation - Least Squares and Maximum Likelihood. Dr. Frank Wood

Transcription

1 Regression Estimation - Least Squares and Maximum Likelihood Dr. Frank Wood

2 Least Squares Max(min)imization Function to minimize w.r.t. β 0, β 1 Q = n (Y i (β 0 + β 1 X i )) 2 i=1 Minimize this by maximizing Q Find partials and set both equal to zero dq dβ 0 = 0 dq dβ 1 = 0

3 Normal Equations The result of this maximization step are called the normal equations. b 0 and b 1 are called point estimators of β 0 and β 1 respectively. Yi = nb 0 + b 1 Xi Xi Y i = b 0 Xi + b 1 X 2 i This is a system of two equations and two unknowns. The solution is given by...

4 Solution to Normal Equations After a lot of algebra one arrives at b 1 = (Xi X )(Y i Ȳ ) (Xi X ) 2 b 0 = Ȳ b 1 X X = Ȳ = Xi n Yi n

5 Least Squares Fit

6 Guess #1

7 Guess #2

8 Looking Ahead: Matrix Least Squares Y 1 Y 2. Y n = X 1 1 X 2 1. X n 1 [ β1 Solution to this equation is solution to least squares linear regression (and maximum likelihood under normal error distribution assumption) β 0 ]

9 Questions to Ask Is the relationship really linear? What is the distribution of the of errors? Is the fit good? How much of the variability of the response is accounted for by including the predictor variable? Is the chosen predictor variable the best one?

10 Is This Better?

11 Goals for First Half of Course How to do linear regression Self familiarization with software tools How to interpret standard linear regression results How to derive tests How to assess and address deficiencies in regression models

12 Estimators for β 0, β 1, σ 2 We want to establish properties of estimators for β 0, β 1, and σ 2 so that we can construct hypothesis tests and so forth We will start by establishing some properties of the regression solution.

13 Properties of Solution The i th residual is defined to be e i = Y i Ŷ i The sum of the residuals is zero: e i = (Y i b 0 b 1 X i ) i = Y i nb 0 b 1 Xi = 0

14 Properties of Solution The sum of the observed values Y i equals the sum of the fitted values Ŷi Y i = Ŷ i i i = i (b 1 X i + b 0 ) = (b 1 X i + Ȳ b 1 X ) i = b 1 X i + nȳ b 1 n X = b 1 n X + i i Y i b 1 n X

15 Properties of Solution The sum of the weighted residuals is zero when the residual in the i th trial is weighted by the level of the predictor variable in the i th trial X i e i = (X i (Y i b 0 b 1 X i )) i = i = 0 X i Y i b 0 Xi b 1 (X 2 i )

16 Properties of Solution The regression line always goes through the point X, Ȳ

17 Estimating Error Term Variance σ 2 Review estimation in non-regression setting. Show estimation results for regression setting.

18 Estimation Review An estimator is a rule that tells how to calculate the value of an estimate based on the measurements contained in a sample i.e. the sample mean Ȳ = 1 n n i=1 Y i

19 Point Estimators and Bias Point estimator ˆθ = f ({Y 1,..., Y n }) Unknown quantity / parameter θ Definition: Bias of estimator B(ˆθ) = E(ˆθ) θ

20 One Sample Example

21 Distribution of Estimator If the estimator is a function of the samples and the distribution of the samples is known then the distribution of the estimator can (often) be determined Methods Distribution (CDF) functions Transformations Moment generating functions Jacobians (change of variable)

22 Example Samples from a Normal(µ, σ 2 ) distribution Y i Normal(µ, σ 2 ) Estimate the population mean θ = µ, ˆθ = Ȳ = 1 n n i=1 Y i

23 Sampling Distribution of the Estimator First moment E(ˆθ) = E( 1 n = 1 n n Y i ) i=1 n E(Y i ) = nµ n = θ i=1 This is an example of an unbiased estimator B(ˆθ) = E(ˆθ) θ = 0

24 Variance of Estimator Definition: Variance of estimator Var(ˆθ) = E([ˆθ E(ˆθ)] 2 ) Remember: Var(cY ) = c 2 Var(Y ) n Var( Y i ) = n Var(Y i ) i=1 i=1 Only if the Y i are independent with finite variance

25 Example Estimator Variance For N(0, 1) mean estimator Var(ˆθ) = Var( 1 n = 1 n 2 n i=1 n Y i ) i=1 Var(Y i ) = nσ2 n 2 = σ2 n Note assumptions

26 Central Limit Theorem Review Central Limit Theorem Let Y 1, Y 2,..., Y n be iid random variables with E(Y i ) = µ and Var(Y i ) σ 2 <. Define. U n = (Ȳ ) µ n σ where Ȳ = 1 n n Y i (1) Then the distribution function of U n converges to a standard normal distribution function as n. i=1 Alternately P(a U n b) b a ( 1 2π ) e u2 2 du (2)

27 Distribution of sample mean estimator

28 Bias Variance Trade-off The mean squared error of an estimator MSE(ˆθ) = E([ˆθ θ] 2 ) Can be re-expressed MSE(ˆθ) = Var(ˆθ) + (B(ˆθ) 2 )

29 MSE = VAR + BIAS 2 Proof MSE(ˆθ) = E((ˆθ θ) 2 ) = E(([ˆθ E(ˆθ)] + [E(ˆθ) θ]) 2 ) = E([ˆθ E(ˆθ)] 2 ) + 2 E([E(ˆθ) θ][ˆθ E(ˆθ)]) + E([E(ˆθ) θ] 2 = Var(ˆθ) + 2 E([E(ˆθ)[ˆθ E(ˆθ)] θ[ˆθ E(ˆθ)])) + (B(ˆθ)) 2 = Var(ˆθ) + 2(0 + 0) + (B(ˆθ)) 2 = Var(ˆθ) + (B(ˆθ)) 2

30 Trade-off Think of variance as confidence and bias as correctness. Intuitions (largely) apply Sometimes choosing a biased estimator can result in an overall lower MSE if it exhibits lower variance. Bayesian methods (later in the course) specifically introduce bias.

31 Estimating Error Term Variance σ 2 Regression model Variance of each observation Y i is σ 2 (the same as for the error term ɛ i ) Each Y i comes from a different probability distribution with different means that depend on the level X i The deviation of an observation Y i must be calculated around its own estimated mean.

32 s 2 estimator for σ 2 s 2 = MSE = SSE n 2 = (Yi Ŷi) 2 n 2 MSE is an unbiased estimator of σ 2 E(MSE) = σ 2 = e 2 i n 2 The sum of squares SSE has n-2 degrees of freedom associated with it. Cochran s theorem (later in the course) tells us where degree s of freedom come from and how to calculate them.

33 Normal Error Regression Model No matter how the error terms ɛ i are distributed, the least squares method provides unbiased point estimators of β 0 and β 1 that also have minimum variance among all unbiased linear estimators To set up interval estimates and make tests we need to specify the distribution of the ɛ i We will assume that the ɛ i are normally distributed.

34 Normal Error Regression Model Y i = β 0 + β 1 X i + ɛ i Y i value of the response variable in the i th trial β 0 and β 1 are parameters X i is a known constant, the value of the predictor variable in the i th trial ɛ i iid N(0, σ 2 ) note this is different, now we know the distribution i = 1,..., n

35 Notational Convention When you see ɛ i iid N(0, σ 2 ) It is read as ɛ i is distributed identically and independently according to a normal distribution with mean 0 and variance σ 2 Examples θ Poisson(λ) z G(θ)

36 Maximum Likelihood Principle The method of maximum likelihood chooses as estimates those values of the parameters that are most consistent with the sample data.

37 Likelihood Function If X i F (Θ), i = 1... n then the likelihood function is n L({X i } n i=1, Θ) = F (X i ; Θ) i=1

38 Example, N(10, 3) Density, Single Obs.

39 Example, N(10, 3) Density, Single Obs. Again

40 Example, N(10, 3) Density, Multiple Obs.

41 Maximum Likelihood Estimation The likelihood function can be maximized w.r.t. the parameter(s) Θ, doing this one can arrive at estimators for parameters as well. L({X i } n i=1, Θ) = n F (X i ; Θ) i=1 To do this, find solutions to (analytically or by following gradient) dl({x i } n i=1, Θ) = 0 dθ

42 Important Trick Never (almost) maximize the likelihood function, maximize the log likelihood function instead. log(l({x i } n i=1, Θ)) = log( = n F (X i ; Θ)) i=1 n log(f (X i ; Θ)) i=1 Quite often the log of the density is easier to work with mathematically.

43 ML Normal Regression Likelihood function L(β 0, β 1, σ 2 ) = = n i=1 1 (2πσ 2 ) 1 (2πσ 2 ) 1 e 2σ 1/2 2 (Y i β 0 β 1 X i ) 2 1 P n e 2σ n/2 2 i=1 (Y i β 0 β 1 X i ) 2 which if you maximize (how?) w.r.t. to the parameters you get...

44 Maximum Likelihood Estimator(s) β 0 b 0 same as in least squares case β 1 b 1 same as in least squares case σ 2 ˆσ 2 = i (Y i Ŷ i ) 2 Note that ML estimator is biased as s 2 is unbiased and s 2 = MSE = n n n 2 ˆσ2

45 Comments Least squares minimizes the squared error between the prediction and the true output The normal distribution is fully characterized by its first two central moments (mean and variance) Food for thought: What does the bias in the ML estimator of the error variance mean? And where does it come from?