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    Regression

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    Luyanda Blom
    This document contains sample questions related to simple linear regression, multiple linear regression, and their applications. The questions cover topics such as the coefficient of determination, residual vectors, rank of the design matrix, deleted residuals, maximum likelihood estimation of coefficients, covariance of estimated coefficients, hat matrix, and interpretation of regression coefficients.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    Regression

    Uploaded by

    Luyanda Blom
    29 views3 pages
    This document contains sample questions related to simple linear regression, multiple linear regression, and their applications. The questions cover topics such as the coefficient of determination, residual vectors, rank of the design matrix, deleted residuals, maximum likelihood estimation of coefficients, covariance of estimated coefficients, hat matrix, and interpretation of regression coefficients.

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    Regression problems

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    This document contains sample questions related to simple linear regression, multiple linear regression, and their applications. The questions cover topics such as the coefficient of determination, residual vectors, rank of the design matrix, deleted residuals, maximum likelihood estimation of coefficients, covariance of estimated coefficients, hat matrix, and interpretation of regression coefficients.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    29 views3 pages

    Regression

    Uploaded by

    Luyanda Blom
    This document contains sample questions related to simple linear regression, multiple linear regression, and their applications. The questions cover topics such as the coefficient of determination, residual vectors, rank of the design matrix, deleted residuals, maximum likelihood estimation of coefficients, covariance of estimated coefficients, hat matrix, and interpretation of regression coefficients.

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    Sample questions

    Simple linear regression

    1. Given a simple linear regression model yi = β0 +β1 xi +εi , i=1,2. . . ,n.


    With E (εi ) = 0, V (εi ) = σ 2 , and ε0i s uncorrelated

    a) Show that for this model the coefficient of determination (R2 ) is


    equivalent to the r2 (the square of the correlation coefficient)
    b) Show that the residual vector (ei ) is correlated with the vector
    of observed yi

    Multiple linear regression

    2. For a multiple linear regression model, Y = Xβ + ε, E (ε) = 0, and


    V (ε) = σ 2 I

    a) Given that the rank of X is such that p + 1 < n, where p, is the


    number of predictors and n, the number of observations. Prove
    0
    that X X is positive definite
    ei
    b) Show that the deleted residual (e(i) ) can be expressed as
    1 − hii
    c) Use the maximum likelihood method to obtain the estimate of β
    d) Derive the covariance matrix of β̂ and hence state its distribution
    e) Show that HY = Ŷ , where H is the hat matrix

    Application questions

    1 a) A roket motor is manufactured by joining an igniter propellant and


    a sustainer propellant together inside a metal housing. The Shear
    strength of the bond between the two types of propellant is an important
    characteristic. Looking at FIGURE 1 below, would you recommend
    a simple linear regression model for shear strength(y) and propellant
    age (x)?

    b) Calculate the standard error for βˆ0 and βˆ1 using values stated in
    TABLE 1 from an output of fitting a simple linear regression model
    on the dataset described above and use it to calculate the confidence
    intervals for the estimators at α = 0.05.

    1
    2

    Scatter plot

    2500

    2250
    Shear Strength

    2000

    1750

    5 10 15 20 25
    Propellant Age

    Figure 1

    c) What does the model suggest about the relationship between shear
    strength and the age of the propellant.

    d) State the model ŷ and find a 95% predictive interval on a future value
    of x = 10 weeks.

    2) The output of a linear regression model fitted on two predictor variable


    is presented in TABLE 2. Note that the second predictor variable is
    an indicator variable, such that, x2 = 0, x2 = 1 and therefore βˆ3 is
    the coefficient of the interaction (x1 ∗ x2 ) . Using TABLE 2, state
    3

    Table 1

    Coefficients βˆ0 := 2627.822 βˆ1 :=-37.154


    t value 59.48 -12.86
    Residual standard error 96.11
    Multiple R-squared 0.9018
    Adjusted R-squared 0.8964
    F-statistic 165.4
    n 20
    x̄ 13.3625
    Sxx 1106.559

    Table 2

    Coefficients βˆ0 := 33.8383695 βˆ1 :=-0.1015306 βˆ2 :=8.131250 βˆ3 =-0.0004171


    t value 13.864 −7.779 2.225 −0.023
    Residual standard error 3.32
    Multiple R-squared 0.8951
    Adjusted R-squared 0.8754
    F-statistic 45.49
    n 20

    the final model for each of the groups. Justify your answer at a 95%
    confidence level.

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