3 views

Uploaded by Namita Dey

2b

- LECTURE 6 Forecasting IV
- Strategic Management Article
- hasil teguh
- Chapter 3 Notes
- kernel jurnal 3664_pdf.pdf
- ass6_doc
- 5.Optimization
- Hint03
- There Are Two OkunÕs Law Relationships Between Output and Unemployment
- CVEN2002 Week11
- Lamp Iran
- Customer expectations will positively affect perceived quality
- abstract
- Principal Components Regression
- 06test
- S17T41_English - Copy
- A Study on the Impact of Advertisements, Reference Group and Brand Perception in the Purchase Involvement of Customers in Chennai With Regard to Tvs Tyres
- Software Testing Defect Prediction Model - A Practical Approach
- Assumptions of Simple and Multiple Linear Regression Model
- Regression Updated

You are on page 1of 14

Multiple linear regression involves one dependent

variable and more than one independent variable. The

equation that describes multiple linear regression model is

given below:

y = 0 + 1 x1 + 2 x2 + .

. + k xk +

.

.,xk are

independent variables. These independent variables being

used to predict the dependent variable.

coefficients (also called model parameters). These

regression coefficients are estimated based on observed

sample data.

The term (pronounced as epsilon) is random error.

Sasadhar Bera, IIM Ranchi

Suppose that n number of observations are collected for

response variable (y) and k number of independent

variables present in the regression model.

i = 1, 2, . . ., n

y

y1

y2

.

yi

.

yn

x1

x11

x21

.

xi1

.

xn1

j = 1, 2, . . .,k

x2

x12

x22

.

xi2

.

xn2

.

.

.

.

.

.

.

xj

x1j

x2j

.

xij

.

xnj

.

.

.

.

.

.

.

xk

x1k

x2k

.

xik

.

xnk

Suppose that n number of observations are collected for

response variable (y) and k number of independent

variables present in the regression model.

The scalar notation of regression model:

yi = 0 + 1 xi1 + 2 xi2 + .

i = 1, 2, . . ., n

j = 1, 2, . . .,k

. + j xij + . . + k xik + i

k = number of independent variables

Suppose that n number of observations are collected for

response variable (y) and k number of independent

variables present in the regression model.

yn1 = Xn(k+1) (k+1) 1 + n1

n = total number of observations, k = total number of

variables, is model parameters in vector notation.

y1

.

y yi

.

y n

1 x11 . x1 j

. . .

.

X 1 x i1 . x ij

. . .

.

1 x . x

n1

nj

.

.

.

.

.

x 1k

.

x ik

.

x nk

0

1

.

j

.

k

1

.

i

.

n

The error in regression model is the difference between

actual and predicted value. It may be positive or negative

value.

Error is also known as residual. Predicted value by

regression equation is called fitted value or fit.

The sum of squared difference between the actual and

predicted values known as sum of square of error. Least

square method minimizes the sum of square of error to

find out the best fitting plane.

It is to be noted that the regressor variables in linear

regression model are non-random. That means its values

are fixed.

Sasadhar Bera, IIM Ranchi

In matrix notation, the regression equation:

y =X +

n

that minimizes L =

i 1

2

i

=

T

y X ( y X)

T

T

T

( L) 2 X y 2 X X 0

Sasadhar Bera, IIM Ranchi

For

ith

y i Xi

ei y i y i

n

2

e

i

i 1

n k 1

of regressors.

MSE

Variance( ) = (X T X) 1

Sasadhar Bera, IIM Ranchi

The test for significance of regression is a test to

determine if there is a linear relationship between the

response variable and regressor variables.

H0 : 1 = 2 = . . . = k = 0

H1 : At least one j is not zero

The test procedure involves an analysis of variance

(ANOVA) partitioning of the total sum of square into a sum

of squares due to regression and a sum of square due to

error (or residual)

Total number of model parameters = p = Number of

regression coefficients = (k+1)

Sasadhar Bera, IIM Ranchi

10

ANOVA table

Source of

Variation

Regression

Residual

error

Total

DF

SS

MS

FCal

SSR

SSR /k =MSR

MSR/MSE

n k-1

SSE

SSE / (n-k-1)

= MSE

n 1

TSS

y

2

i

n

T

SSR yi y XT y i1

n

i 1

n

SSE yi yi y T y XT y

i 1

n

TSS yi y

i 1

11

Coefficient

Adding an unimportant variable to the model can actually

increase the mean square error, thereby decreasing the

usefulness of the model.

The hypothesis for testing the significance of any

individual regression coefficient, say j is

H0: j = 0

H1: j 0

j

2 C jj

, ( n k 1)

element of (XTX)-1 . Reject H0 if Tcal > t , ( n k 1)

2

12

In matrix notation, the regression equation:

y =X +

where Normal (0, 2)

Mean response = y = E(y) = E(X ) + E() = X + 0

y|x = E(y | x0 ) = x0

0

var(y | x0 )

x T0 (XT X)1 x 0

y|x

( n p )

x T0 (XT X)1 x 0

Sasadhar Bera, IIM Ranchi

13

Coefficient of multiple determination =

R2

SSR

=

TSS

SSE

1

TSS

TSS

TSS

SSR : Sum of square due to regression

SSE : Sum of square due to error

TSS : Total sum of square

dependent variable explained by regressor variables.

R2 is measure the goodness of linear fit. The better the

linear fit is, the R2 closer to 1.

14

The major drawback of using coefficient of multiple

determination (R2) is that adding a predictor variable to the

model will always increase R2, regardless of whether the

additional variable is significant or not. To avoid such

situation, regression model builders prefer to use adjusted

R2 statistic.

SSE

2

adj

n 1

( n p)

(1 R 2 )

1

1

TSS

n p

(n 1)

are added to the model.

chance that non-significant terms have been included in the

15

model.

Sasadhar Bera, IIM Ranchi

- LECTURE 6 Forecasting IVUploaded bysalmanyz6
- Strategic Management ArticleUploaded bykhaled
- hasil teguhUploaded byslamet pujianto Skep
- Chapter 3 NotesUploaded byPete Jacopo Belbo Caya
- kernel jurnal 3664_pdf.pdfUploaded byanne
- ass6_docUploaded bysubhadippal
- 5.OptimizationUploaded byHenry Lopez
- Hint03Uploaded byIre Reign Francisquite
- There Are Two OkunÕs Law Relationships Between Output and UnemploymentUploaded bymuqtad
- CVEN2002 Week11Uploaded byKai Liu
- Lamp IranUploaded byRuly Yuniarto
- Customer expectations will positively affect perceived qualityUploaded byjoseph_philip_7
- abstractUploaded byGoher Ayub
- Principal Components RegressionUploaded byManjinder Singh
- 06testUploaded byPETER
- S17T41_English - CopyUploaded byPär Sjölander
- A Study on the Impact of Advertisements, Reference Group and Brand Perception in the Purchase Involvement of Customers in Chennai With Regard to Tvs TyresUploaded bySwaroop C Mathew
- Software Testing Defect Prediction Model - A Practical ApproachUploaded byesatjournals
- Assumptions of Simple and Multiple Linear Regression ModelUploaded byDivina Gonzales
- Regression UpdatedUploaded byVishal Siwal
- App1Uploaded byapi-19731569
- w14571Uploaded bymirando93
- 6134 Math StatsUploaded bycsrajmohan2924
- Comparison of methods: Passing and Bablok regression | Biochemia MedicaUploaded byLink Bui
- Maximizing Product Minimizing CostsUploaded byPaul Brea
- c13Uploaded byrgerwwaa
- Tugas 1 Analisis Data 1551130202Uploaded byAllRockhi
- Regression Problem 3Uploaded byPatrick Ulrich
- RegressionUploaded byketo2008
- Area StudyUploaded byLai Wai Ni

- Norm_Exercise2.docUploaded byNamita Dey
- Thomas Cook CrmUploaded byahen123
- Introduction to Social Crm for TravelUploaded byNamita Dey
- Norm Exercise1Uploaded byNamita Dey
- Weekly Workshift Scheduling_Summary of a CaseUploaded byNamita Dey
- M102 Manoj SahuUploaded byNamita Dey
- Marquess Beta WildStone 13Uploaded byNamita Dey
- Top 10 Advertising Agency in India 2013 _ Best Advertising Agencies in IndiaUploaded byNamita Dey
- S128Uploaded byNamita Dey
- CDK Digital Case Prep QuestionsUploaded byNamita Dey
- Travel and TourismUploaded byNamita Dey
- Tripadvisor Ppp OptUploaded byNamita Dey
- Inter_NPDUploaded bypraneeth9
- EspnUploaded byNamita Dey
- Norm Exercise3 (1)Uploaded byLaura Catalina Perez
- Hydro_review-2014Uploaded byNamita Dey
- New Text Document.txtUploaded byNamita Dey
- docslide.us_ch-03-case-sport-obermeyer.pptUploaded byAnkit Mishra
- Decoding Patanjali’s Popularity _ VCCircleUploaded byNamita Dey
- 2009_sol_z_tableUploaded bySani Abu Naufal
- InventoryUploaded byNamita Dey
- Sport Obermeyer CaseUploaded byNamita Dey
- Session 1Uploaded byNamita Dey
- CRISIL First Cut_CPI_IIP_Aug_2016.pdfUploaded byAnirudh Kumar
- SimulationUploaded byNamita Dey
- Additinal SurchargeUploaded byNamita Dey
- Demographic QuestionairesUploaded byNamita Dey
- Ultratech and Jaypee Associates DealUploaded byNamita Dey
- 812Uploaded byNamita Dey

- Econometrics InterpretationsUploaded byTanya Yablonskaya
- Ch17 Least Squares 11Uploaded byiqbal
- Summary EconometricsUploaded byFatimah Ahmad
- Myerson (1978)Uploaded byomidbundy
- Matlab Assignment 6Uploaded by17833621
- Tutorial 4Uploaded byRegina Estelle Lee
- Lecture1.pdfUploaded byRashidAli
- Fitting DistributionsUploaded byParikshit Yadav
- Stated preference method (Hensher).pdfUploaded byEsty Herdiani
- Grad Diploma 4 ReadingUploaded byS.L.L.C
- Statistical Analysis for Plant Tissue Culture DataUploaded bySyamzy Zack
- JeeUploaded byVinko Zaninović
- Experiments MontgomeryUploaded byJaka Permana Soebagjo
- Tutorial 1Uploaded byBoon Charisma Leo
- Forecasting Using EviewsUploaded byLucia Spinei
- How to Estimate Long-run Relationships in EconomicsUploaded byrunawayyy
- Randomized Block Design PPTUploaded byamitpatwari
- MultiColl TheoryUploaded byMunnah Bhai
- Application of Response Surface Methodology and CentralUploaded byManishankar Panda
- Regression[1]Uploaded byhanandaner
- Week 2 DF Feedback Fall 2012Uploaded byjoshblumberg
- Model-free implied volatility and its information contentUploaded byFilippo Mariani
- maths1Uploaded byapi-341496321
- EyeUploaded bySatish Chava
- ejercicois eviewsUploaded byJuan Antonio MeFre
- SampleFINAL KEY 205Uploaded byaskar_cba
- ForecastingUploaded byAmit Roy
- Stock Watson 3U ExerciseSolutions Chapter10 StudentsUploaded byCristian Castillo Merino
- Linear Programming NotesUploaded bygkay28
- Nielsen DissertationUploaded bypasaitow