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Regression Analysis
Simple Regression
Multivariate Regression
Stepwise Regression
Replication and Prediction Error
Regression Analysis
y=bx
Line through the origin: y
y2 y
y=bx (1 d.f.) y1
Σ (y-y)⋅ x = 0 ⇒ Σ (y - bx)⋅ x = 0 ⇒
Σ xy
b= (est. of β) s2= SR (est. of σ2R)
Σ x2 n-1
s 2 s2
V(b) = 67% conf: b ±
Σ x2 Σ x2
*
b-β
Significance test: t = 2
~ tn-1
s
Σ x2
Lecture 8: Regression Analysis 5
EE290H F05 Spanos
400
R
e
m 300
o
v
e
d 200
(
n
m 100
)
0
0.0 0.2 0.4 0.6 0.8 1.0
Etch Time (sec) x 10^3
H0: β*=0
H0 : β * = b
The
TheANOVA
ANOVAtable
tablewill
willanswer
answerthe
thequestion:
question:
Is
Isthere
thereaarelationship
relationshipbetween
between xxand
and y?
y?
Lecture 8: Regression Analysis 8
EE290H F05 Spanos
Total 1.89e+5 8
60
40
R
e 20
s
i 0
d -20
u
a -40
l
s -60
0.0 0.2 0.4 0.6 0.8 1.0
Etch Time (sec) x 10^3
Lecture 8: Regression Analysis 9
EE290H F05 Spanos
η = α + β (x - x ) y = a + b (x - x )
yi~ N (ηi, σ2)
Variance Estimation:
LTO
L
thickness vs deposition time: y = a + bx
T 4
O
t
h
i 3
c
k
A
2
x
1
0
^ 1
3 1.0 1.5 2.0 2.5 3.0 3.5
Dep time x 10^3
Total 4.82e+6 17
100
R
e
s
i 0
d
u
a
l
s -100
1.0 1.5 2.0 2.5 3.0 3.5
Dep time x 10^3
Lecture 8: Regression Analysis 13
EE290H F05 Spanos
ANOVA Representation
(xi,yi) (yi-yi)
y (yi-η i)
b(xi-x)
(yi-η i)
(a-α)
β(xi-x)
yi = a+b(xi-x)
η i = α+β(xi-x) x xi x
In
In this
this way,
way, the
the significance
significance of
of the
the model
model can
can be
be
analyzed
analyzedinindetail.
detail.
y0 = y+b(x0 -x )
2
V(y0 ) = V(y)+(x0 -x ) V(b)
2
(x0 -x )
V(y0 ) = 1 + s 2
n 2
Σ (x -x )
T
h 2500
i
c
k
n 2000
e
s
s
1500
1000
1000 1500 2000 2500 3000
Dep time Leverage
Lecture 8: Regression Analysis 17
EE290H F05 Spanos
T
h 2500
i
c
k
n 2000
e
s
s
1500
1000
1000 1500 2000 2500 3000
Dep time Leverage
Lecture 8: Regression Analysis 18
EE290H F05 Spanos
T
h 2500
i
c
k
n 2000
e
s
s
1500
1000
1000 1500 2000 2500 3000
Dep time Leverage
Lecture 8: Regression Analysis 19
EE290H F05 Spanos
Experimental Error
Prediction error
y
Estimated Model
••Experimental
ExperimentalError
Error
Does
Doesnot
notdepend
depend
on
on locationor
location or
True model sample
samplesize.
size.
••Prediction
PredictionError
Error
depends
dependson on
location
location
gets
getssmaller
smalleras
as
sample size
sample size
x increases.
increases.
Lecture 8: Regression Analysis 20
EE290H F05 Spanos
Multivariate Regression
η = β1x1 +β2x2
x2 R
y The
TheResidual
Residualisis
toy ,,x1 ,,x2 ..
to
β2 y
β1 x1
Variance Estimation:
SR
s2 = n-p
V(b1) = 1 2 s2
1-ρ Σx21
V(b2) = 1 2 s2 - Σ x 1 x2
ρ=
1-ρ Σx22 Σ x21Σ x22
Total 2.66e+4 20
x1 x2 xn b = y + e
minimize Xb - y 2 = e 2 = ( y - Xb )T ( y - Xb )
or, min -e T Xb + e Ty which is equiv. to: ( y - Xb )T Xb = 0
X T Xb = X T y
b = ( X T X ) -1 X T y V(b) = ( X T X ) -1 σ 2
d
e
p
200
r
a
t
e
100
600 610 620 630 640 650
inlet temp
Total 3.69e+4 22
20
R 10
e
s
i 0
d
u
a -10
l
s
-20
600 610 620 630 640 650
inlet temp
Lecture 8: Regression Analysis 28
EE290H F05 Spanos
S E= 1
2 Σ (y i1-y i2) 2 SLF =SR -S E
k ni
Σ Σv (y iv-ηi)2 =
i
k
Σ ηi
i
k k k k ni
(a-α)2Σ ηi + (b-β)2Σ ηi(x i-x)2 + Σ ηi(y i.-y i)2 + Σ Σ (y iv-y i.)2
i i i iv
k
1 1 k-2 Σ ηi-k
i
k ni k ni k k
Σ Σv (y iv-y)2 = Σ Σv (y iv-y i.)2 + Σ ηi(y i.-y i)2 + Σ ηi(y-y i)2
i i i i
Lack Of Fit
Source DF Sum of Squares Mean Square F Ratio
Lack Of Fit 17 401.01 23.59 21.04
Pure Error 4 4.49 1.12 Prob > F
Total Error 21 405.50 0.005
Parameter Estimates
Term Estimate Std Error t Ratio Prob>|t|
Intercept -1850.16 46.42 -39.85 0.000
inlet temp 3.24 0.07 43.47 0.000
Model Test
Source DF Sum of Squares F Ratio Prob > F
inlet temp 1 36489.55 999.99 0.000
d
e
p
200
r
a
t
e
100
600 610 620 630 640 650
inlet temp
Variable Std. Err. t
Name Coefficient Estimate Statistic Prob > t
Parameter Estimates
Term Estimate Std Error t Ratio Prob>|t|
Intercept 8339.05 1789.92 4.66 0.0002
inlet temp^1 -29.45 5.74 -5.13 0.0001
inlet temp^2 0.03 0.005 5.69 0.0000
Model Test
Source DF Sum of Squares F Ratio Prob > F
Poly(inlet temp,2) 2 36740.32 999.99 0.0000
Total 3.69e+4 22
6
4
R
e 2
s
i 0
d
u -2
a
l -4
s
-6
600 610 620 630 640 650
inlet temp
4000 4000
3000
3000
2000
2000
1000
LTO Thick A
90%LimitLow
90%LimitHigh
0 1000
1000 2000 3000 4000 1000 2000 3000 4000
Dep Time Sec LTO Thick A
Lecture 8: Regression Analysis 34
EE290H F05 Spanos
• Objectives:
• get a feel of I/O relationships
• find setting(s) that satisfy multiple constraints
• find settings that lead to optimum performance
• Observations:
• Function is nearly linear away from the peak
• Function is nearly quadratic at the peak
b1, b2,
b12 = -0.65 +/-0.75
b11+b22=1/4Σp+1/3Σc= -0.50 +/-1.15
"Popular" RSM