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Example Class One

1) The document discusses concepts and formulas related to simple linear regression including the sample correlation coefficient r, least squares estimates of the regression parameters β0 and β1, and their standard errors. 2) It provides an example of fitting a linear regression model to data on hours studied and test scores for 10 students and calculating relevant statistics. 3) It defines a linear regression model to study the relationship between height (response variable) and gender (explanatory variable) for a sample of boys and girls and asks to find the least squares estimators of the parameters.

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127 views

Example Class One

1) The document discusses concepts and formulas related to simple linear regression including the sample correlation coefficient r, least squares estimates of the regression parameters β0 and β1, and their standard errors. 2) It provides an example of fitting a linear regression model to data on hours studied and test scores for 10 students and calculating relevant statistics. 3) It defines a linear regression model to study the relationship between height (response variable) and gender (explanatory variable) for a sample of boys and girls and asks to find the least squares estimators of the parameters.

Uploaded by

as5155
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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THE UNIVERSITY OF HONG KONG

DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE


STAT2301_3600 Linear Statistical Analysis (Semester 1, 2014/2015)
Example Class 1
Notations
n

S XX = ( xi x ) = xi nx 2
2

i =1
n

i =1
n

S YY = ( y i y ) = y i ny 2
S=
XY

i =1
n

i =1

y)
( xi x )( yi =

x y n x y

=i 1 =i 1

dependent variable

Scatter Plot / Scatter Diagram / Scatter Graph


A graphical approach to display the values of two variables

independent variable
Sample correlation coefficient r
An indicator to measure the linear association between two variables

r = r = XY =
X Y

S XY
n 1
S XX S YY
n 1 n 1

S XY
S XX S YY

1 r 1
Scale-independent

Simple Linear Regression Model


To study the linear relationship between an explanatory variable (independent variable / predictor
1

variable / regressor) and a response variable (dependent variable / predicted variable) based on a
sample (of size n ) collected.
Consider a sample of observations is observed in the form of ( , ), = 1, , .

1
2

1
2

where is the explanatory variable and is the response variable.


Assumptions of simple linear regression model:
1 , , are nonrandom constants,
= 0 + 1 + with ~ . . . (0, 2 ),
The responses 1 , , are independent.

0 = 0 and 1 = 1 are estimators of 0 and 1


Fitted value y i = 0 + 1 xi
Residual ei = y i y i
The least square estimates (also the MLE) of 0 and 1 are

S XY

b1 = b1 =
S XX

b = b = y b x
0
1
0
0 and 1 are unbiased estimators for 0 and 1 respectively.

(0 ) = 2 +
(1 ) =

(0 , 1 ) =

Mean square error MSE is the estimate of 2 , i.e.


=1( )2
2 = 2 =
,
2
Hence
2
estimate of (1 ) =

estimate of (0 ) = 2 +

estimate of (0 , 1 ) =

Example 1.1

Show that when the line = , which passes through the origin, is fitted to the data ( , ),
2

= 1, 2, , , the least squares estimate of is


=1
=
.
=1 2

Example 1.2

Consider the following data on the number of hours that 10 persons studied for a French test and
their scores on the test:
Hours studied ( x )
Test score ( y )
4
31
9
58
10
65
14
73
4
37
7
44
12
60
22
91
1
21
17
84
The scatter plot of test score against hours studied is:

Test score (Y)

100
90
80
70
60
50
40
30
20
10
0
0

10
15
Hours studied (X)

20

25

a) Does a linear relationship appear reasonable?


b) Compute S XX , S YY and S XY .
c) Estimate the correlation coefficient between hours studied ( x ) and test score ( y ).
d) Write down an appropriate model according to the data given and state all the model
assumptions.
e) Fit a regression line of y on x .

f) Predict the test score of a person who studied 22.5 hours for the test. Is the prediction reliable?
g) Given: 2 = 2 = 27.8848. Find the standard errors for b 0 and b1 .

h) Estimate the covariance of b 0 and b1 .

Example 1.3
A sample of n boys and n girls is taken from a secondary school and their heights are measured.
Let y1 , y 2 ,..., y n denote the heights of the n girls, and y n +1 , y n + 2 ,..., y 2 n those of the n boys,
respectively. It is believed that the random quantities y i satisfy y i = + xi + i ,

i ~ i.i.d .N (0, 2 ), i = 1,...,2n where , are unknown parameters and the covariates xi are
i = 1,2,..., n
1,
defined by xi =
Find the least squares estimators of and .
i = n + 1,...,2n
+ 1,

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