8.

Confidence Interval
of 0 and 1

REGRESSION
1. Prediction Equation

yi 0 1 xi

1 t( / 2,n 2 ) S e ( 1 )

0 t ( / 2 , n 2 ) S e ( 0 )

2. Sample Slope

SS
1 xy
SS xx

x x y y
x x
i

SSx= x2- ( x)2/n

9. Confidence interval
for mean value of Y
given x

12. Adjusted R2

SSE /(n k 1)
SST /(n 1)
n 1
RA2 1 (1 R 2 )
n (k 1)
RA2 1

A (1 - )100% confidence

interval for E(Y X ) :

SSxy= xy- x* y/n

Yi t / 2 S e

3. Sample Y Intercept

1 ( X i X )2

n
SS X

R 2A The adjusted coefficient

of determination

0 y 1 x
4. Coeff. Of Determination

R2

Backward Regression
Fout < 2.71
Pout > 0.10

SSR
SSE
1
SST
SST

Here Y is the E(Y X).

R 2 Unadjusted coefficient

10. Prediction interval

for a randomly
chosen value of Y
given x

of determination
n number of observations
k no. of explanatory variables
13. Variance Inflation
Factor
1
14.
VIF(X )

A (1 - )100% prediction
interval for Y is :

Yi t / s S e 1

5. Std. Error of Estimate

Se

n k 1

1 (Xi X )

n
SS x

where Xs are observed values

of independent variable.

Y is the estimate of Y, n is
the sample size and Se is the
standard error of Y
6. Standard Error of 0 and
1

S ( 0 )
S (1 )

Se

Se

(for simple regression only)

SS xx

Forward Regression
Fdefaultin > 3.84
Pin < 0.05

Estimate Parameter
Est. std. error of estimate

1 1

Se ( 1 )

SS XY
r R
SS XX SSYY
2

nSS xx

7. Test Statistic
t( n 2 )

11. Coeff. of Correlation

t( n 2 )

1 SSx
Se

1 R 2j

R 2j is the coefficient of
determination for the
regression of X j as
dependent variable

If VIF > 4, it is co
linearity
14. Tolerance Factor: 1Rj2
15. Beta Weights

Beta i

Sx
Sy

Sx Std dev of X
S y Std dev of Y
16. Partial F Test

Fr ,n ( k 1)

( SSER SSEF ) / r
MSE F

SSER - sum of squares of

error of reduced model
SSEF - sum of squares of
error of full model
r no. of variables
dropped from full model.
17. For Multiple
Regression:
A (1-) 100% PI (Prediction
Interval) for value of Y given
values of Xi:

19. Mahalanobis
Distance (for SLR)
Mi = [(Xi X)/ Sx]2
Outlier if value >10
Or can refer chi-sq table
20. Cooks Distance (for
simple linear
regression)

Cut-off: > 1 or 4/(n-k-1)

Semi-partial (or part) correlation

sr12,3 is the correlation between y1
and x2 when influence of x3 is
partialled out of x2 (not on y1).

sr12,3

Mahalanobis
distance

> Critical chi-square value

with df = number of
explanatory variables
(Outliers in independent
variable)

Cooks distance

> 1 implies potential outlier

23.

Leverage for a point

is given by (simple
linear regression):

Hat matrix relates the

estimated value of y (y-hat)
with the observed value of y
(thus the name hat matrix).
H=X(

The threshold value

for leverage is
2(k+1)/n or 3(k+1)/n.
Where, k is the
number of
explanatory variables
and n is the sample
size.
22.

Leverage
values

> 2(k+1)/n, then the point

is influential (k is the
number of independent
variables and n is the
sample size)

SDFBeta

> 2/n

SDFFit

2 (k 1) n

1 r232

Square of part correlation =

unique contribution of the
2
explanatory variable to R
(coefficient of multiple
determination).

=Hy

> 3 (3 sigma level)

r12 r13r23

(Hat Value)

Potential Outliers

Standardized
residual,
Studentized
residual

(1 r132 )(1 r232 )

21. Leverage Value

18. Outliers
Measure

r12 r13r23

Di =

j (Yj Yj(i))2/k x MSE

A (1-) 100% CI (Confidence
Interval) for the conditional
mean of Y given values of Xi:

r12,3

22. Relationship
between F and R2

PARTIAL CORRELATION
Correlation between y1 and x2,
when the influence of x3 is
removed from both y1 and x2.

Hat Matrix