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Multiple regression analysis

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Multiple Linear

Regression Analysis

Week 13

L1 Multiple Linear Regression

1

Lecture 3

Learning Outcomes:

At the end of the lesson, the student should be able to

Use the least squares method to estimate a multiple

linear model

Carry out tests to determine if the model obtained is an

adequate fit to the data

Carry out test for inferences on regression parameters

Find the CI for the slope

2

MULTIPLE LINEAR REGRESSION

an extension of a simple linear regression model

function of more than one input variable xi

Consider the following data consisting of n sets of values

( y1 , x11 , x21 , ....xk 1 )

( y2 , x12 , x22 , ....xk 2 )

.

( yn , x1n , x2 n , ....xkn )

the value of the dependent variable yi is modeled as

Y 0 1 x1 .... k x k

3

the dependent variable is related to k independent or

regressor variables

the multiple linear regression model can provide a rich variety

of functional relationships by allowing some of the input

variables xi to be functions of other input variables.

are estimated using the method of least squares.

we use the computer to handle the computations.

regression coefficient

4

Observation Number Pull Strength y Wire Length x1 Die Height x2

1 9.95 2 50

2 24.45 8 110

4 35.00 10 550

pg. 310

5 25.02 8 295

6 16.86 4 200

7 14.38 2 375

8 9.60 2 52

9 24.35 9 100

10 27.50 8 300

11 17.08 4 412

12 37.00 11 400

13 41.95 12 500

14 11.66 2 360

15 21.65 4 205

16 17.89 4 400

17 69.00 20 600

18 10.30 1 585

19 34.93 10 540

20 46.59 15 250

21 44.88 15 290

22 54.12 16 510

23 56.63 17 590

24 22.13 6 100

25 21.15 5 400

Using these estimated model parameters, the fitted regression equation is

MULTIPLE LINEAR REGRESSION ANALYSIS

- testing for the significance of regression.

Hypotheses: H 0 : 1 2 3 .... k 0

H 1 : at least one j 0

MS R

Test statistic: F0

MS E

SSR SSE

where: MSR MSE

k n p

MS R

Rejection criteria: F0 f , k , n p

MS E

7

ANOVA Table for multiple linear regression

Of variation Squares of Square

freedom (Sum of squares /

(df) df)

SSR

Regression SSR k MSR F = MSR/MSE

k

SSE

Error SSE n (k+1) MSE

n (k 1)

Total SST n1

8

Inferences on the model parameters in multiple regression.

H 1 : j j ,0

Test statistic j j , 0

T0

se ( )j

Reject H0 if T0 t / 2 , n p

9

Example 1:

A set of experimental runs were made to determine a way of

predicting cooking time y at various levels of oven width x1, and

temperature x2. The data were recorded as follows:

y x1 x2

6.4 1.32 1.15

15.05 2.69 3.4 Carry out an analysis to

18.75 3.56 4.1 determine the regression

30.25 4.41 8.75 equation

44.86 5.35 14.82

48.94 6.3 15.15

51.55 7.12 15.32

61.5 8.87 18.18

100.44 9.8 35.19

111.42 10.65 40.4

Solution:

Y X1 X2 X1-square X2-square X1X2 X1Y X2Y

Solution:

Using the computer for computations, the following results were

observed.

Regression Analysis: cooking time versus width, temperature

The regression equation is ?

Constant 0.568 0.585 0.970

Width 2.706 0.194 ? (2.706/0.194)

Temp 2.051 0.046 ? (2.051/0.046)

Analysis of Variance

Source DF SS MS F P

Regression(SSR) ? 10953.334 5476.667 13647.872 0.000

Residual Error (SSE) 7 2.809 0.401

Total ? 10956.143

Solution:

Using the computer for computations, the following results were

observed.

Regression Analysis: cooking time versus width, temperature

The regression equation is

Cooking time = 0.568 + 2.706 width + 2.051 temperature

Constant 0.568 0.585 0.970

Width 2.706 0.194 13.935

Temp 2.051 0.046 44.380

S = 0.6334 R-Sq = 99.9% R-Sq(adj) = 100%

Analysis of Variance

Source DF SS MS F

Regression 2 10953.334 5476.667 13647.872

Residual Error 7 2.809 0.401

Total 9 10956.143

Example 2 ( continued):

b) Test whether the regression explained by the model obtained in

part (a) is significant at the 0.01 level of significance.

Solution:

H 0 : 1 2 0

H 1 : 1 and 2 are not both zero

F0

MSE

The following ANOVA table is obtained:

Analysis of Variance

Source DF SS MS F

Regression 2 10953.334 5476.667 13647.872

Residual Error 7 2.809 0.401

Total 9 10956.143

f , k , n ( k 1) f 0.01, 2 , 7 9 .55

F 13647 .87 9 .55

Decision : Reject H 0, A linear model is fitted

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