UNIVERSITY OF TORONTO SCARBOROUGH

Department of Computer and Mathematical Sciences

Midterm Test, Fall - 2014

STAC67H3: Regression Analysis

Duration: One hour and fifty minutes (110 minutes)

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A handwritten cheat-sheet, covering both sides of an A4/letter sized paper. You need
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A calculator (No phone calculators are allowed)
No other aids are allowed.

All your work must be presented clearly in order to get credit. Answer alone (even though
correct) will only qualify for ZERO credit. Please show your work in the space provided; you
may use the back of the pages, if necessary, but you MUST remain organized. Show your
work and answer in the space provided, in ink. Pencil may be used, but then any re-grading
will NOT be allowed.

There are 11 pages including this page. Please check to see you have all the
pages.
Good Luck!

Question 1

Total

Points

31

15

15

123

62

Score

1. In a certain Federal Power Commission hearing some years ago, witnesses presented
the following data (here rounded). The variables are: (i) predictor X: percentage of
i:

Xi :

13.3

16.9

19.9

23.2

26.3

30.1 42.6

Yi :

3.5

5.1

4.8

6.7

6.0

9.5

8.1

liquids in gas production output, and (ii) response Y : unit cost in cents of processing
output. Assume that the following normal error regression model Yi = 0 +1 +i , i =
1, 2, , 7 is appropriate. [62 Points]
(a) Write down the assumptions of your regression model. [4 Points]

(b) Compute [5 Points]

7
X

Xi =

i=1
7
X

Yi =

i=1
7
X

Xi2 =

i=1
7
X

Yi2 =

i=1
7
X
i=1

Xi Yi =

(c) Obtain the least squares estimate of 1 . Interpret the result. [5 + 3 = 8 Points]

(d) Obtain the least squares estimate of 0 . Interpret the result. [5 + 3 = 8 Points]

(e) Obtain an unbiased estimate of the error variance 2 . [8 Points]

(f) Estimate the variances of b1 and b0 . [3 + 3 = 6 Points]

(g) Estimate the 95% confidence interval of 1 . Interpret the result. [3 + 2 = 5

Points]

(h) Estimate the 95% confidence interval of 0 . Interpret the result. [3 + 2 = 5

Points]

(i) Test the null hypothesis H0 : 0 = 0 against the alternative hypothesis that
HA : 0 6= 0. Specify the level of significance at 0.05. [3 Points]

(j) Obtain the 95% Bonferroni joint confidence intervals of 0 and 1 . Compare your
results with (g) and (h). [3 + 2 = 5 Points]

(k) Compute the coefficient of determination. Interpret the number. [3 + 2 = 5

Points]

2. In a manufacturing study, the production times for 111 recent production runs were
obtained. The table below lists for each run the production time in hours (Y ) and the
production lot size (X).
i:

109

110

111

Xi :

15

12

15

Yi :

14.28

8.80

12.49

16.37

11.45

15.78

Consider that the first order linear regression model (Yi = 0 +1 Xi +i ; i = 1, 2, n)
is appropriate. We further assume that the model error terms are independent with
i N (0, 2 ). [31 Points]
(a) We compute the following sum of products of X and Y for this data

P111

i=1 (Yi

= 2608.704. Furthermore, the estimated least squares regression

Y )(Xi X)
coefficients are b0 = 6.863487 and b1 = 0.5332749. Complete the following analysis
of variance (ANOVA) table. [16 Points]
Table 1: ANOVA Table for Simple Linear Regression.
Source of
Variation
Regression

SS
P
(Yi Y )2 =

Error

P
(Yi Yi )2 =

Total

P
(Yi Y )2 = 1979.99

df

MS

(b) Perform the test that the production lot size has no effect on production time.
That is, test the null hypothesis that H0 : 1 = 0 against the alternative that
HA : 1 6= 0. Use the level of significance = 0.01. [5 Points]

(c) Consider, from a residual plot you think the constant variance assumption of the
fitted model might be violated. Hence, you want to perform a statistical test to
check this assumption. For this purpose you fit the following model loge i2 =
0 + 1 Xi using e2i against Xi and obtain regression sum of squares as 4.90996.
Perform an appropriate test with level of significance = 0.01. [10 Points]

3. Consider the regression model Yi = 0 + i , i = 1, 2, , n. Assume that the error

term i are independent N (0, 2 ). Construct the likelihood function, and obtain the
maximum likelihood estimator of 0 . [10 + 5 = 15 Points]

4. The height of soap suds in the dishpan is of importance to soap manufacturers. An

experiment was performed by varying the amount of soap and measuring the height
of the suds in a standard dishpan after a given amount of agitation. The data are as
follows:
Grams of Product,

Suds Height,

4.0

33

4.5

42

5.0

45

5.5

51

6.0

53

6.5

61

7.0

62

Assume that a simple linear regression model of the form Y = X +  is reasonable.

[15 Points]
(a) Write down the vectors Y, ,  and the matrix X. [4 Points]

(b) Obtain the matrices XT X and XT Y. [6 Points]

(c) Find the least squares estimate of . [5 Points]

10

Appendix
1. When = 0.05 and n = 7
t(1 /2; n 2) = 2.570582.
2. When = 0.05 and n = 7
t(1 /4; n 2) = 3.163381.
3. When = 0.01 and n = 111
F (1 ; 1, n 2) = 6.87325.
4. When = 0.01 and n = 111
t(1 /2; n 2) = 2.621688.
5. When = 0.01 and n = 1
2 (1 ; n) = 6.634897.

11