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    QM II Formula Sheet

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    phanindra sairam
    This document provides definitions and formulas for key concepts in regression analysis: 1. It defines the prediction equation, sample slope, sample y-intercept, coefficient of determination, standard error of estimate, and standard errors of β0 and β1 for simple linear regression. 2. It provides formulas for confidence intervals of β0 and β1, and for the mean value of Y given x, and discusses adjusted R2. 3. It introduces concepts like prediction intervals, variance inflation factors, tolerance factors, beta weights, and partial F tests which are used to evaluate multiple linear regression models.

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    QM II Formula Sheet

    Uploaded by

    phanindra sairam
    178 views2 pages
    This document provides definitions and formulas for key concepts in regression analysis: 1. It defines the prediction equation, sample slope, sample y-intercept, coefficient of determination, standard error of estimate, and standard errors of β0 and β1 for simple linear regression. 2. It provides formulas for confidence intervals of β0 and β1, and for the mean value of Y given x, and discusses adjusted R2. 3. It introduces concepts like prediction intervals, variance inflation factors, tolerance factors, beta weights, and partial F tests which are used to evaluate multiple linear regression models.

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    QM II Formulae

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    This document provides definitions and formulas for key concepts in regression analysis: 1. It defines the prediction equation, sample slope, sample y-intercept, coefficient of determination, standard error of estimate, and standard errors of β0 and β1 for simple linear regression. 2. It provides formulas for confidence intervals of β0 and β1, and for the mean value of Y given x, and discusses adjusted R2. 3. It introduces concepts like prediction intervals, variance inflation factors, tolerance factors, beta weights, and partial F tests which are used to evaluate multiple linear regression models.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    178 views2 pages

    QM II Formula Sheet

    Uploaded by

    phanindra sairam
    This document provides definitions and formulas for key concepts in regression analysis: 1. It defines the prediction equation, sample slope, sample y-intercept, coefficient of determination, standard error of estimate, and standard errors of β0 and β1 for simple linear regression. 2. It provides formulas for confidence intervals of β0 and β1, and for the mean value of Y given x, and discusses adjusted R2. 3. It introduces concepts like prediction intervals, variance inflation factors, tolerance factors, beta weights, and partial F tests which are used to evaluate multiple linear regression models.

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    8.

    Confidence Interval
    of 0 and 1

    REGRESSION
    1. Prediction Equation

    yi 0 1 xi

    1 t( / 2,n 2 ) S e ( 1 )

    0 t ( / 2 , n 2 ) S e ( 0 )

    2. Sample Slope

    SS
    1 xy
    SS xx

    x x y y
    x x
    i

    SSx= x2- ( x)2/n

    9. Confidence interval
    for mean value of Y
    given x

    12. Adjusted R2

    SSE /(n k 1)
    SST /(n 1)
    n 1
    RA2 1 (1 R 2 )
    n (k 1)
    RA2 1

    A (1 - )100% confidence

    interval for E(Y X ) :

    SSxy= xy- x* y/n

    Yi t / 2 S e

    3. Sample Y Intercept

    1 ( X i X )2

    n
    SS X

    R 2A The adjusted coefficient


    of determination

    0 y 1 x
    4. Coeff. Of Determination

    R2

    Backward Regression
    Fout < 2.71
    Pout > 0.10

    SSR
    SSE
    1
    SST
    SST

    Here Y is the E(Y X).

    R 2 Unadjusted coefficient

    10. Prediction interval


    for a randomly
    chosen value of Y
    given x

    of determination
    n number of observations
    k no. of explanatory variables
    13. Variance Inflation
    Factor
    1
    14.
    VIF(X )

    A (1 - )100% prediction
    interval for Y is :

    Yi t / s S e 1

    5. Std. Error of Estimate

    Se

    n k 1

    1 (Xi X )

    n
    SS x

    where Xs are observed values


    of independent variable.

    Y is the estimate of Y, n is
    the sample size and Se is the
    standard error of Y
    6. Standard Error of 0 and
    1

    S ( 0 )
    S (1 )

    Se

    Se

    (for simple regression only)

    SS xx

    Forward Regression
    Fdefaultin > 3.84
    Pin < 0.05

    Estimate Parameter
    Est. std. error of estimate

    1 1

    Se ( 1 )

    SS XY
    r R
    SS XX SSYY
    2

    nSS xx

    7. Test Statistic
    t( n 2 )

    11. Coeff. of Correlation

    t( n 2 )

    1 SSx
    Se

    1 R 2j

    R 2j is the coefficient of
    determination for the
    regression of X j as
    dependent variable

    If VIF > 4, it is co
    linearity
    14. Tolerance Factor: 1Rj2
    15. Beta Weights

    Beta i

    Sx
    Sy

    Sx Std dev of X
    S y Std dev of Y
    16. Partial F Test

    Fr ,n ( k 1)

    ( SSER SSEF ) / r
    MSE F

    SSER - sum of squares of


    error of reduced model
    SSEF - sum of squares of
    error of full model
    r no. of variables
    dropped from full model.
    17. For Multiple
    Regression:
    A (1-) 100% PI (Prediction
    Interval) for value of Y given
    values of Xi:

    19. Mahalanobis
    Distance (for SLR)
    Mi = [(Xi X)/ Sx]2
    Outlier if value >10
    Or can refer chi-sq table
    20. Cooks Distance (for
    simple linear
    regression)

    Cut-off: > 1 or 4/(n-k-1)

    Semi-partial (or part) correlation


    sr12,3 is the correlation between y1
    and x2 when influence of x3 is
    partialled out of x2 (not on y1).

    sr12,3

    Mahalanobis
    distance

    > Critical chi-square value


    with df = number of
    explanatory variables
    (Outliers in independent
    variable)

    Cooks distance

    > 1 implies potential outlier

    23.

    Leverage for a point


    is given by (simple
    linear regression):

    Hat matrix relates the


    estimated value of y (y-hat)
    with the observed value of y
    (thus the name hat matrix).
    H=X(

    The threshold value


    for leverage is
    2(k+1)/n or 3(k+1)/n.
    Where, k is the
    number of
    explanatory variables
    and n is the sample
    size.
    22.

    Leverage
    values

    > 2(k+1)/n, then the point


    is influential (k is the
    number of independent
    variables and n is the
    sample size)

    SDFBeta

    > 2/n

    SDFFit

    2 (k 1) n

    1 r232

    Square of part correlation =


    unique contribution of the
    2
    explanatory variable to R
    (coefficient of multiple
    determination).

    =Hy

    > 3 (3 sigma level)

    r12 r13r23

    (Hat Value)

    Potential Outliers

    Standardized
    residual,
    Studentized
    residual

    (1 r132 )(1 r232 )

    21. Leverage Value

    18. Outliers
    Measure

    r12 r13r23

    Di =

    j (Yj Yj(i))2/k x MSE


    A (1-) 100% CI (Confidence
    Interval) for the conditional
    mean of Y given values of Xi:

    r12,3

    22. Relationship
    between F and R2

    PARTIAL CORRELATION
    Correlation between y1 and x2,
    when the influence of x3 is
    removed from both y1 and x2.

    Hat Matrix

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