View by Category

Loading...

PPT – Multiple Regression PowerPoint presentation | free to view

The Adobe Flash plugin is needed to view this content

About This Presentation

Write a Comment

User Comments (0)

Transcript and Presenter's Notes

Multiple Regression

- Goals
- Implementation
- Assumptions

Goals of Regression

- Description
- Inference
- Prediction (Forecasting)

Examples

Why is there a need for more than one predictor

variable

- Shown using the examples given above
- more than one variable influences a response

variable. - Predictors may themselves be correlated,
- What is the independent contribution of each

variable to explaining the variation in the

response variable.

Three fundamental aspects of linear regression

- Model selection
- What is the most parsimonious set of predictors

that explain the most variation in the response

variable - Evaluation of Assumptions
- Have we met the assumptions of the regression

model - Model validation

The multiple regression model

- Express a p variable regression model as a series

of equations - P equations condensed into a matrix form,
- gives the familiar general linear model
- coefficients are known as partial regression

coefficients

The p variable Regression Model

This model gives the expected value of Y

conditional on the fixed values of X2, X3, Xp,

plus error

Matrix Representation

Regression model is best described as a system

of equations

We can re-write these equations

Summary of Terms

A Partial Regression Model

Burst 1.21 2.1 Femur Length 0.25 Tail

Length 1.0 Toe

Velocity

Partial Regression Coefficient

Predictor Variable

Response Variable

Intercept

Assumption 1.

- Expected value of the residual vector is 0

Assumption 2.

- There is no correlation between the ith and jth

residual terms

Assumption 3.

- The residuals exhibit constant variance

Assumption 4.

- Covariance between the Xs and residual terms is

0 - Usually satisfied if the predictor variables are

fixed and non-stochastic

Assumption 5.

- The rank of the data matrix, X is p, the number

of columns - p lt n, the number of observations.
- No exact linear relationships among X variables.
- Assumption of no multicollinearity

If these assumptions hold

- Then the OLS estimators are in the class of

unbiased linear estimators - Also minimum variance estimators

What does it mean to be BLUE

- What does this mean
- Allows us to compute a number of statistics.
- OLS estimation

An estimator , is the best linear unbiased

estimator of , iff

- Linear
- Unbiased, i.e., E( )
- Minimum variance in class of all linear unbiased

estimators - Unbiased and minimum variance properties means

that OLS estimators are efficient estimators - If one or more of the conditions are not met than

the OLS estimators are no longer BLUE

Does is matter

- Yes, it means we require an alternative method

for characterizing the association between our Y

and X variables

OLS Estimation

Sample-based counter part to population

regression model

OLS requires choosing values of b, such that

error sum-of-squares (SSE) is as small as

possible.

The Normal Equations

Need to differentiate with respect to the

unknowns (b)

Yields p simultaneous equations in p unknowns,

Also known as the Normal Equations

Matrix form of the Normal Equations

The solution for the bs

It should be apparent how to solve for the

unknown parameters Pre-multiply by the inverse

of XX

Solution Continued

From the properties of Inverses we note that

This is the fundamental outcome of OLS theory

Assessment of Goodness-of-Fit

- Use the R2 statistic
- It represents the proportion of variability in

response variable that is accounted for by the

regression model - 1 R2 1
- Good fit of model means that R-square will be

close to one. - Poor fit means that R-square will be near 0.

R2 Multiple Coefficient of Determination

Alternative Expressions

Critique of R2 in Multiple Regression

- R2 inflated by increasing the number of

parameters in the model. - One should also analyze the residual values from

the model (MSE) - Alternatively use the adjusted R2

Adjusted R2

How does adjusted R-square work

- Total Sum-of-Squares is fixed,
- because it is independent of number of variables
- The numerator, SSE, decreases as the number of

variables increases. - R2 artificially inflated by adding explanatory

variables to the model - Use Adjusted R2 to compare different regression
- Adjusted R2 takes into account the number of

predictors in the model

Statistical Inference and Hypothesis Testing

- Our goal may be
- 1) hypothesis testing
- 2) interval estimation
- Hence we will need to impose distributional

limits on the residuals - It turns out the probability distribution of the

OLS estimators depends on the probability

distribution of the residuals, .

Recount Assumptions

- Normality this means the elements of b are

normally distributed - bs are unbiased.
- If these hold then we can perform several

hypothesis tests.

ANOVA Approach

- Decomposition of total sums-of-squares into

components relating - explained variance (regression)
- unexplained variance (error)

ANOVA Table

Test of Null Hypothesis

Tests the null hypothesis H0 23p 0

Null hypothesis is known as a joint or

simultaneous hypothesis, because it compares the

values of all i simultaneously This tests

overall significance of regression model

The F-test statistic and R2 vary directly

Tests of Hypotheses of true

Assume the regression coefficients are normally

distributed

b N,2-1)

cov(b) E(b - )(b - )

2-1

Estimate of 2 is s2

Test Statistic

Follows a t distribution with n p df.

where cii is the element of the ith row and ith

column of -1

100(1-) Confidence Interval is obtained from

Model Comparisons

- Our interest is in parsimonious modeling
- We seek a minimum set of X variables to predict

variation in Y response variable. - Goal is to reduce the number of predictor

variables to arrive at a more parsimonious

description of the data. - Does leaving out one of the bs significantly

diminish the variance explained by the model. - Compare a Saturated to an Unsaturated model
- Note there are many possible Unsaturated models.

General Philosophy

- Let SSE( r ) designate the error sum-of-squares

for reduced model - SSE( r ) SSE(f)
- The saturated model will contain p parameters
- The reduced model will contain k lt p parameters
- If we assume the errors are normally distributed

with mean 0 and variance sigma squared, then we

can compare the two models.

Model Comparison

Compare saturated model with the reduced

model Use the SSE terms as the basis for

comparison

Hence,

Follows an F-distribution, with (p k), (n p)

df If Fobs gt Fcritical we reject the reduced

model as a parsimonious model the bi must be

included in the model

How Many Predictors to RetainA short course in

Model Selection

- Several Options
- Sequential Selection
- Backward Selection
- Forward Selection
- Stepwise Selection
- All possible subsets
- MAXR
- MINR
- RSQUARE
- ADJUSTED RSQUARE
- CP

Sequential Methods

- Forward, Stepwise, Backward selection procedures
- Entails Partialling-out the predictor variables
- Based on the partial correlation coefficient

Forward Selection

- Build-up procedure.
- Add predictors until the best regression model

is obtained

Outline of Forward Selection

- No variables are included in regression equation
- Calculate correlations of all predictors with

dependent variable - Enter predictor variable with highest correlation

into regression model if its corresponding

partial F-value exceeds a predetermined threshold - Calculate the regression equation with the

predictor - Select the predictor variable with the highest

partial correlation to enter next.

Forward Selection Continued

- Compare the partial F-test value
- (called FH also known as F-to-enter)
- to a predetermined tabulated F-value
- (called FC)
- If FH gt FC, include the variable with the highest

partial correlation and return to step 5. - If FH lt FC, stop and retain the regression

equation as calculated

Backward Selection

- A deconstruction approach
- Begin with the saturated (full) regression model
- Compute the drop in R2 as a consequence of

eliminating each predictor variable, and the

partial F-test value treat as if the variable

was the last to enter the regression equation - Compare the lowest partial F-test value,

(designated FL), to the critical value of F

(designated FC) - a. If FL lt FC, remove the variable
- recompute the regression equation using the

remaining predictor variables and return to step

2. - b. FL lt FC, adopt the regression equation as

calculated

Stepwise Selection

- Calculate correlations of all predictors with

response variable - Select the predictor variable with highest

correlation. Regress Y on Xi. Retain the

predictor if there is a significant F-test value. - Calculate partial correlations of all variable

not in equation with response variable. Select

next predictor to enter that has the highest

partial correlation. Call this predictor Xj. - Compute the regression equation with both Xi and

Xj entered. Retain Xj if its partial F-value

exceeds the tabulated F (1, n-2-1) df. - Now determine whether Xi warrants retention.

Compare its partial F-value as if Xj was entered

into the equation first.

Stepwise Continued

- Retain if its F-value exceeds the tabulated F

value - Enter a new Xk variable. Compute regression

with three predictors. Compute partial F-values

for Xi, Xj and Xk. - Determine whether any should be retained by

comparing observed partial F with the critical F. - 6) Retain regression equation when no other

predictor can be entered or removed from the

model.

All possible subsets

Requires use of optimality criterion, e.g.,

Mallows Cp

(p k 1)

- s2 is residual variance for reduced model and 2

is the residual variance for full model - All subset regressions compute possible 1, 2, 3,

variable models given some optimality

criterion.

Mallows Cp

- Measures total squared error
- Choose model where Cp p

About PowerShow.com

PowerShow.com is a leading presentation/slideshow sharing website. Whether your application is business, how-to, education, medicine, school, church, sales, marketing, online training or just for fun, PowerShow.com is a great resource. And, best of all, most of its cool features are free and easy to use.

You can use PowerShow.com to find and download example online PowerPoint ppt presentations on just about any topic you can imagine so you can learn how to improve your own slides and presentations for free. Or use it to find and download high-quality how-to PowerPoint ppt presentations with illustrated or animated slides that will teach you how to do something new, also for free. Or use it to upload your own PowerPoint slides so you can share them with your teachers, class, students, bosses, employees, customers, potential investors or the world. Or use it to create really cool photo slideshows - with 2D and 3D transitions, animation, and your choice of music - that you can share with your Facebook friends or Google+ circles. That's all free as well!

For a small fee you can get the industry's best online privacy or publicly promote your presentations and slide shows with top rankings. But aside from that it's free. We'll even convert your presentations and slide shows into the universal Flash format with all their original multimedia glory, including animation, 2D and 3D transition effects, embedded music or other audio, or even video embedded in slides. All for free. Most of the presentations and slideshows on PowerShow.com are free to view, many are even free to download. (You can choose whether to allow people to download your original PowerPoint presentations and photo slideshows for a fee or free or not at all.) Check out PowerShow.com today - for FREE. There is truly something for everyone!

You can use PowerShow.com to find and download example online PowerPoint ppt presentations on just about any topic you can imagine so you can learn how to improve your own slides and presentations for free. Or use it to find and download high-quality how-to PowerPoint ppt presentations with illustrated or animated slides that will teach you how to do something new, also for free. Or use it to upload your own PowerPoint slides so you can share them with your teachers, class, students, bosses, employees, customers, potential investors or the world. Or use it to create really cool photo slideshows - with 2D and 3D transitions, animation, and your choice of music - that you can share with your Facebook friends or Google+ circles. That's all free as well!

For a small fee you can get the industry's best online privacy or publicly promote your presentations and slide shows with top rankings. But aside from that it's free. We'll even convert your presentations and slide shows into the universal Flash format with all their original multimedia glory, including animation, 2D and 3D transition effects, embedded music or other audio, or even video embedded in slides. All for free. Most of the presentations and slideshows on PowerShow.com are free to view, many are even free to download. (You can choose whether to allow people to download your original PowerPoint presentations and photo slideshows for a fee or free or not at all.) Check out PowerShow.com today - for FREE. There is truly something for everyone!

presentations for free. Or use it to find and download high-quality how-to PowerPoint ppt presentations with illustrated or animated slides that will teach you how to do something new, also for free. Or use it to upload your own PowerPoint slides so you can share them with your teachers, class, students, bosses, employees, customers, potential investors or the world. Or use it to create really cool photo slideshows - with 2D and 3D transitions, animation, and your choice of music - that you can share with your Facebook friends or Google+ circles. That's all free as well!

For a small fee you can get the industry's best online privacy or publicly promote your presentations and slide shows with top rankings. But aside from that it's free. We'll even convert your presentations and slide shows into the universal Flash format with all their original multimedia glory, including animation, 2D and 3D transition effects, embedded music or other audio, or even video embedded in slides. All for free. Most of the presentations and slideshows on PowerShow.com are free to view, many are even free to download. (You can choose whether to allow people to download your original PowerPoint presentations and photo slideshows for a fee or free or not at all.) Check out PowerShow.com today - for FREE. There is truly something for everyone!

For a small fee you can get the industry's best online privacy or publicly promote your presentations and slide shows with top rankings. But aside from that it's free. We'll even convert your presentations and slide shows into the universal Flash format with all their original multimedia glory, including animation, 2D and 3D transition effects, embedded music or other audio, or even video embedded in slides. All for free. Most of the presentations and slideshows on PowerShow.com are free to view, many are even free to download. (You can choose whether to allow people to download your original PowerPoint presentations and photo slideshows for a fee or free or not at all.) Check out PowerShow.com today - for FREE. There is truly something for everyone!

Recommended

«

/ »

«

/ »

Promoted Presentations

Related Presentations

CrystalGraphics Sales Tel: (800) 394-0700 x 1 or Send an email

Home About Us Terms and Conditions Privacy Policy Contact Us Send Us Feedback

Copyright 2014 CrystalGraphics, Inc. — All rights Reserved. PowerShow.com is a trademark of CrystalGraphics, Inc.

Copyright 2014 CrystalGraphics, Inc. — All rights Reserved. PowerShow.com is a trademark of CrystalGraphics, Inc.

The PowerPoint PPT presentation: "Multiple Regression" is the property of its rightful owner.

Do you have PowerPoint slides to share? If so, share your PPT presentation slides online with PowerShow.com. It's FREE!

Committed to assisting Ohiou University and other schools with their online training by sharing educational presentations for free