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lec9 - Simple Linear Regression Multiple Linear Regression...

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Simple Linear Regression Multiple Linear Regression Simple and Multiple Linear Regression Artin Armagan Sta. 113 Chapter 12 and 13 of Devore March 31, 2009 Artin Armagan Simple and Multiple Linear Regression
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Simple Linear Regression Multiple Linear Regression Table of contents 1 Simple Linear Regression Estimation Inference 2 Multiple Linear Regression Artin Armagan Simple and Multiple Linear Regression
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Simple Linear Regression Multiple Linear Regression Estimation Inference Model A simple linear regression model is given by Y = β 0 + β 1 x + where Y is the reponse x is the predictor β 0 is the unknown intercept of the line β 1 is the unknown slope of the line N (0 , σ 2 ) is the noise with unknown variance σ 2 Artin Armagan Simple and Multiple Linear Regression
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Simple Linear Regression Multiple Linear Regression Estimation Inference Model Notice that Y is a random quantity due to only E ( Y ) = β 0 + β 1 x V ( Y ) = σ 2 Y N ( β 0 + β 1 x , σ 2 ) Artin Armagan Simple and Multiple Linear Regression
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Simple Linear Regression Multiple Linear Regression Estimation Inference Assumptions Notice that A linear underlying relationship between the response and the predictor Normality of random noise Constant variance of random noise all throughout the data Independence of random noise Artin Armagan Simple and Multiple Linear Regression
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Simple Linear Regression Multiple Linear Regression Estimation Inference Least Squares Estimation Find the line passing through the data points such that the sum of squared vertical distances from this line to the data points is minimized. min b 0 , b 1 n X i =1 ( y i - b 0 - b 1 x i ) 2 Since this is a minimization problem, taking the derivatives with respect to b 0 and b 1 and setting them equal to zero will result in two equations which are called the normal equations . nb 0 + ( X x i ) b 1 = 0 ( X x i ) b 0 + ( X x 2 i ) b 1 = X x i y i Artin Armagan Simple and Multiple Linear Regression
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Simple Linear Regression Multiple Linear Regression Estimation Inference Least Squares Estimation If we solve this system we obtain b 1 = ˆ β 1 = ( x i - ¯ x )( y i
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