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You are on page 1of 17

Common estimate of

2

is

S

2

e

=

1

n 2

n

i =1

(y

i

(

0

+

1

x

i

))

2

=

1

n 2

n

i =1

e

2

i

=

SSE

DF

error

= MS

error

Dividing by

1

n2

makes S

2

e

an unbiased estimator for

2

.

(n 2) follows general d.f. rule:

Estimate 2 parameters in the model.

The residuals satisfy two constraints by LSE method.

1 / 17

Inference for

1

Discuss

1

in detail

1

=

n

i =1

(x

i

x)(y

i

y)

n

i =1

(x

i

x)

2

=

n

i =1

(x

i

x)y

i

n

i =1

(x

i

x)

2

1

is a linear combination of normal random variables (the

y

i

s), so

1

is normally distributed with

E(

1

) =

1

1

= Var(

1

) =

2

n

i =1

(x

i

x)

2

=

2

(n 1)S

2

X

2 / 17

Inference for

1

2

is unknown; plug in estimate S

2

e

.

Sample standard error of

1

is

S

1

=

S

e

S

X

n 1

(

1

)/S

1

follows a t-distribution with (n 2) d.f.

Test H

0

:

1

= 0 vs. H

1

:

1

= 0 at level ,

T =

1

0

S

1

t

n2

, and reject H

0

if |T| > t

n2,1/2

100(1 )% C.I. for

1

is

1

t

n2,1/2

S

1

.

3 / 17

Inference for

0

Point estimate of

0

is

0

= y

1

x.

E(

0

) =

0

,

2

0

= Var(

0

) =

2

1

n

+

x

2

(n 1)S

2

X

0

N(

0

,

2

0

)

0

has sample standard error S

0

= S

e

1

n

+

x

2

(n1)S

2

X

Test H

0

:

0

= 0 vs. H

1

:

0

= 0 at level ,

T =

0

0

S

0

t

n2

, and reject H

0

if |T| > t

n2,1/2

.

100(1 )% C.I. for

0

is

0

t

n2,1/2

S

0

.

4 / 17

Inference for Regression Line (or Conditional Means)

Inference for E(Y|X = x) =

0

+

1

x

For a chosen x

0

,

estimate is y

0

=

0

+

1

x

0

= y +

1

(x

0

x).

E( y

0

) =

Y|X=x

0

=

0

+

1

x

0

Var( y

0

) =

2

1

n

+

(x

0

x)

2

(n1)S

2

X

y

0

= S

e

1

n

+

(x

0

x)

2

(n1)S

2

X

.

Test H

0

:

Y|X=x

0

= vs. H

1

:

Y|X=x

0

= at level ,

T =

y

0

S

y

0

t

n2

, and reject H

0

if |T| > t

n2,1/2

.

100(1 )% C.I. for

Y|X=x

0

(i.e.

0

+

1

x

0

) is

(

0

+

1

x

0

) t

n2,1/2

S

y

0

.

5 / 17

Prediction

Predict the value for Y at given x

0

:

Y

new

=

0

+

1

x

0

+ E

Estimate is still y

new

=

0

+

1

x

0

Standard error is

S

y,pred

=

S

2

e

+ S

2

y

0

= S

e

1 +

1

n

+

(x

0

x)

2

(n 1)S

2

X

100(1 )% prediction interval:

(

0

+

1

x

0

) t

n2,1/2

S

y,pred

.

6 / 17

Example

Forbes Data

James D. Forbes collected data in the Scotish Alps in the

1840s and 1850s.

n = 17 locations (at dierent altitudes)

Objective: Predict barometric pressure (in inches of

mercury) from boiling point of water (X) in

F.

Use Y = log(barametric pressure).

Motivation: Fragile barameters of the 1840s were dicult

to transport.

7 / 17

BOILING POINT BARAMETRIC NATURAL LOG OF

OF WATER PRESSURE BARAMETRIC

Obs (degrees F) (inches Hg) PRESSURE

1 194.3 20.79 3.034472

2 194.5 20.79 3.034472

3 197.9 22.40 3.109061

4 198.4 22.67 3.121042

5 199.4 23.15 3.141995

6 199.9 23.35 3.150597

7 200.9 23.89 3.173460

8 201.1 23.89 3.173460

9 201.3 24.01 3.178470

10 201.4 24.02 3.178887

11 203.6 25.14 3.224460

12 204.6 26.57 3.279783

13 208.6 27.76 3.323596

14 209.5 28.49 3.349553

15 210.7 29.04 3.368674

16 211.9 29.88 3.397189

17 212.2 30.06 3.403195

8 / 17

Forbes Data

GG

G

G

G

G

G

GGG

G

G

G

G

G

G

G

190 195 200 205 210 215

3

.

0

3

.

1

3

.

2

3

.

3

3

.

4

3

.

5

Boiling point of water (degrees F)

L

o

g

P

r

e

s

s

u

r

e

9 / 17

Analysis of Forbes Data

Proposed regression model

y

i

=

0

+

1

x

i

+ e

i

where e

i

i .i .d

N(0,

2

), i = 1, , 17.

Y

i

= log(pressure)

X

i

= boiling point (

F)

1

is the increase in mean log(pressure) when boiling point

of water increases by 1

F.

0

is the mean log(pressure) when boiling point of water is

0

F. (Is this extrapolation realistic?)

10 / 17

Analysis of Forbes Data

Estimated regression model

y =

0

+

1

x = 0.970866 + 0.020622x

Residuals: e

i

= y

i

y

i

, i = 1, , 17.

Estimated mean log(pressure) at 212

F is

y

212

=

0

+

1

212 = 3.401074.

11 / 17

Analysis of Forbes Data

Inference on

1

:

Test H

0

:

1

= 0 (Y

i

=

0

+ e

i

) versus

H

1

:

1

= 0 (Y

i

=

0

+

1

x

i

+ e

i

).

Evaluate T =

1

0

S

1

=

0.0206220

0.000379

= 54.42. p-value <<

0.0001. Reject H

0

and conclude that the slope is positive.

A 95% C.I. for the slope indicates that the slope is very

well estimated from these data

1

t

15,0.975

S

1

0.020622 (2.131)(0.00037895)

(0.0198, 0.0214)

12 / 17

Analysis of Forbes Data

Inference on

0

Test H

0

:

0

= 0 (Y

i

=

1

x

i

+ e

i

) versus

H

1

:

0

= 0 (Y

i

=

0

+

1

x

i

+ e

i

)

Evaluate T =

0

0

S

0

=

0.9710

0.0769

= 12.6. p-value

<< 0.0001. Reject H

0

and conclude that the intercept is

negative. (Is there a practical motivation to do this test?)

A 95% C.I. for the intercept is

0

t

15,0.975

S

0

0.971 (2.131)(0.0769)

(1.135, 0.807)

13 / 17

Analysis of Forbes Data

Construct a 95% C.I. for mean of log-pressure

measurements when the boiling point of water is x = 209

F.

Estimated mean is

y =

0

+

1

x = 0.9710 + (0.0206)(209) = 3.339

Evaluate the sample standard error of this estimate

S

y

=

0.0000762

1

17

+

(209 202.953)

2

530.78

= 0.00312

A 95% C.I. is y t

15,0.975

S

y

= (3.333, 3.346).

14 / 17

Analysis of Forbes Data

For every point x, compute 95% C.I. will get us a C.I. band for

the regression line.

GG

G

G

G

G

G

GGG

G

G

G

G

G

G

G

190 195 200 205 210 215

3

.

0

3

.

1

3

.

2

3

.

3

3

.

4

3

.

5

Boiling point of water (degrees F)

L

o

g

P

r

e

s

s

u

r

e

Regression Line

95 percent C.I.

15 / 17

Analysis of Forbes Data

Inference for prediction:

Construct a 95% prediction interval for a log-pressure

value when the boiling point of water is x=209

F.

Prediction is the estimated mean (because the estimate of

the error is zero)

y =

0

+

1

x+error = 0.9710+(0.0206)(209)+0 = 3.339

Evaluate the standard error of the prediction

S

y

=

0.0000762

1 +

1

17

+

(209 202.953)

2

530.78

= 0.00927

16 / 17

Analysis of Forbes Data

A 95% prediction interval is

y t

15,0.975

S

y,pred

3.339 (2.131)(0.00927)

(3.319, 3.359)

Above inferences (estimation, testing, prediction) are in the

output of SAS program. We will introduce SAS coding after

we introduce one more thing the ANOVA table for simple

linear regression. Hold on.

17 / 17

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