Deming regression

1
Deming regression
Deming regression. The red lines show the error
in both x and y. This is different from the
traditional least squares method which measures
error parallel to the y axis. The case shown, with
deviations measured perpendicularly, arises when
x and y have equal variances.
In statistics, Deming regression, named after W. Edwards Deming, is
an errors-in-variables model which tries to find the line of best fit for a
two-dimensional dataset. It differs from the simple linear regression in
that it accounts for errors in observations on both the x- and the y- axis.
It is a special case of total least squares, which allows for any number
of predictors and a more complicated error structure.
Deming regression is equivalent to the maximum likelihood estimation
of an errors-in-variables model in which the errors for the two
variables are assumed to be independent and normally distributed, and
the ratio of their variances, denoted , is known. In practice, this ratio
might be estimated from related data-sources; however the regression
procedure takes no account for possible errors in estimating this ratio.
The Deming regression is only slightly more difficult to compute
compared to the simple linear regression. Many software packages
used in clinical chemistry, such as Analyse-it, EP Evaluator, MedCalc,
R, S-PLUS and StatsDirect offer Deming regression.
The model was originally introduced by Adcock (1878) who considered the case =1, and then more generally by
Kummell (1879) with arbitrary . However their ideas remained largely unnoticed for more than 50 years, until they
were revived by Koopmans (1937) and later propagated even more by Deming (1943). The latter book became so
popular in clinical chemistry and related fields that the method was even dubbed Deming regression in those
fields.
[1]
Specification
Assume that the available data (y
i
, x
i
) are measured observations of the "true" values (y
i
*, x
i
*):
where errors and are independent and the ratio of their variances is assumed to be known:
In practice the variance of the and parameters is often unknown which complicates the estimate of but
where the measurement method for and is the same they are likely to be equal so that for this case.
We seek to find the line of "best fit"
such that the weighted sum of squared residuals of the model is minimized:
[2]
Deming regression
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Solution
The solution can be expressed in terms of the second-degree sample moments. That is, we first calculate the
following quantities (all sums go from i=1 to n):
Finally, the least-squares estimates of model's parameters will be
[3]
The case of equal error variances
When , Deming regression becomes orthogonal regression: it minimizes the sum of squared perpendicular
distances from the data points to the regression line. In this case, denote each observation as a point z
j
in the complex
plane (i.e., the point (x
j
, y
j
) is written as z
j
= x
j
+ iy
j
where i is the imaginary unit). Denote as Z the sum of the squared
differences of the data points from the centroid (also denoted in complex coordinates), which is the point whose
horizontal and vertical locations are the averages of those of the data points. Then:
[4]
If Z = 0, then every line through the centroid is a line of best orthogonal fit.
If Z 0, the orthogonal regression line goes through the centroid and is parallel to the vector from the origin to
.
A trigonometric representation of the orthogonal regression line was given by Coolidge in 1913.
[5]
Application
In the case of three non-collinear points in the plane, the triangle with these points as its vertices has a unique Steiner
inellipse that is tangent to the triangle's sides at their midpoints. The major axis of this ellipse falls on the orthogonal
regression line for the three vertices.
[6]
Notes
[1] [1] Cornbleet, Gochman (1979)
[2] [2] Fuller, ch.1.3.3
[3] [3] Glaister (2001)
[4] [4] Minda and Phelps (2008), Theorem 2.3.
[5] [5] Coolidge, J. L. (1913).
[6] [6] Minda and Phelps (2008), Corollary 2.4.
Deming regression
3
References
Adcock, R. J. (1878). "A problem in least squares". The Analyst (Annals of Mathematics) 5 (2): 5354. doi:
10.2307/2635758 (http:/ / dx. doi. org/ 10. 2307/ 2635758). JSTOR 2635758 (http:/ / www. jstor. org/ stable/
2635758).
Coolidge, J. L. (1913). "Two geometrical applications of the mathematics of least squares". The American
Mathematical Monthly 20 (6): 187190. doi: 10.2307/2973072 (http:/ / dx. doi. org/ 10. 2307/ 2973072).
Cornbleet, P.J.; Gochman, N. (1979). "Incorrect LeastSquares Regression Coefficients". Clin. Chem. 25 (3):
432438. PMID 262186 (http:/ / www. ncbi. nlm. nih. gov/ pubmed/ 262186).
Deming, W. E. (1943). Statistical adjustment of data. Wiley, NY (Dover Publications edition, 1985).
ISBN0-486-64685-8.
Fuller, Wayne A. (1987). Measurement error models. John Wiley & Sons, Inc. ISBN0-471-86187-1.
Glaister, P. (March 2001). "Least squares revisited". The Mathematical Gazette 85: 104-107.
Koopmans, T. C. (1937). Linear regression analysis of economic time series. DeErven F. Bohn, Haarlem,
Netherlands.
Kummell, C. H. (1879). "Reduction of observation equations which contain more than one observed quantity".
The Analyst (Annals of Mathematics) 6 (4): 97105. doi: 10.2307/2635646 (http:/ / dx. doi. org/ 10. 2307/
2635646). JSTOR 2635646 (http:/ / www. jstor. org/ stable/ 2635646).
Linnet, K. (1993). "Evaluation of regression procedures for method comparison studies" (http:/ / www. clinchem.
org/ cgi/ reprint/ 39/ 3/ 424). Clinical Chemistry 39 (3): 424432. PMID 8448852 (http:/ / www. ncbi. nlm. nih.
gov/ pubmed/ 8448852).
Minda, D.; Phelps, S. (2008). "Triangles, ellipses, and cubic polynomials" (http:/ / www. geogebra. org/ en/
upload/ files/ english/ steve_phelps/ minda phelps. pdf). American Mathematical Monthly 115 (8): 679689. MR
2456092 (http:/ / www. ams. org/ mathscinet-getitem?mr=2456092).
Article Sources and Contributors
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Article Sources and Contributors
Deming regression Source: http://en.wikipedia.org/w/index.php?oldid=611197829 Contributors: A. Parrot, Arthur Rubin, Btyner, David Eppstein, Den fjttrade ankan, Docu, Dstivers,
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