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useful for these types of problems.

the product is related to the process-operating temperature.

yield at a given temperature level.

Table11-

Table11-1 Oxygen and Hydrocarbon Level

Hydrocarbon Hydrocarbon

Observation Purity Observation Purity

Level Level

Number y (%) Number y (%)

x (%) x (%)

1 0.99 90.01 11 1.19 93.54

Figure 11-

11-1 Scatter Diagram of oxygen purity versus hydrocarbon level from

Table 11-1.

Based on the scatter diagram, it is probably reasonable to assume

that the mean of the random variable Y is related to x by the

following straight-line relationship:

E (Y x ) = µY x = β 0 + β1 x

where the slope and intercept of the line are called regression

coefficients.

coefficients.

Y = β 0 + β1 x + ε

where ε is the random error term.

We think of the regression model as an empirical model.

Suppose that the mean and variance of ε are 0 and σ2, respectively,

then

E (Y x ) = E ( β 0 + β1 x + ε ) = β 0 + β1 x + E ( ε ) = β 0 + β1 x

V (Y x ) = V ( β 0 + β1 x + ε ) = V ( β 0 + β1 x ) + V ( ε ) = 0 + σ 2 = σ 2

• The true regression model is a line of mean values:

µY x = β 0 + β1 x

change in x.

error variance, σ2.

variance of this distribution is the same at each x.

Figure 11-

11-2 The distribution of Y for a given value of x for the oxygen purity-

hydrocarbon data.

• The case of simple linear regression considers a single regressor or

predictor x and a dependent or response variable Y.

E (Y x ) = β 0 + β1 x

model

Y = β 0 + β1 x + ε

• Suppose that we have n pairs of observations ( x1 , y1 ) , ( x2 , y2 ) ,… , ( xn , yn ) .

and β1 by minimizing the sum of the squares of the vertical deviations

in Figure 11-3.

Figure 11-

11-3 Deviations of

the data from the estimated

regression model.

• Using Equation 11-2, the n observations in the sample can be

expressed as

yi = β 0 + β1 xi + ε i , i = 1, 2,… , n

the true regression line is

n n

L = ∑ ε = ∑ ( yi − β 0 − β1 xi )

2 2

i

i =1 i =1

n n

L = ∑ ε = ∑ ( yi − β 0 − β1 xi )

2 2

i

i =1 i =1

The least squares estimators of β0 and β1, say, βˆ0 and βˆ1 , must

satisfy

n

∂L

∂β 0

( )

= −2∑ yi − βˆ0 − βˆ1 xi = 0

i =1

βˆ0 βˆ1

n

∂L

∂β1

( )

= −2∑ yi − βˆ0 − βˆ1 xi xi = 0

i =1

βˆ0 βˆ1

Simplifying these two equations yields

n n

nβˆ0 + βˆ1 ∑ xi = ∑ yi

i =1 i =1

n n n

βˆ0 ∑ xi + βˆ1 ∑ x = ∑ yi xi

2

i

i =1 i =1 i =1

equations The

solution to the normal equations results in the least squares

estimators βˆ0 and βˆ1.

Least The least squares estimates of the intercept and slope in

the simple linear regression model are

Squares

βˆ0 = y − βˆ1 x

Estimates

n n

n ∑ yi ∑ xi

i =1 i =1

∑ y x

i i −

n

βˆ1 = i =1

2

n

n ∑ xi

i =1

∑

i =1

xi

2

−

n

n n

where y = (1 n ) ∑ yi and x = (1 n ) ∑ xi .

i =1 i =1

The fitted or estimated regression line is therefore

ŷ = βˆ0 + βˆ1 x

Note that each pair of observations satisfies the relationship

residual The residual describes the

error in the fit of the model to the ith observation yi.

Notation

2

n

n n ∑ i x

S xx = ∑ ( xi − x ) = ∑ xi2 − i =1

2

i =1 i =1 n

n n

n n ∑ xi ∑ yi

S xy = ∑ yi ( xi − x ) = ∑ xi yi − i =1 i =1

2

i =1 i =1 n

2

n

n n ∑ yi

SST = S yy = ∑ ( yi − y ) = ∑ yi2 − i =1

2

i =1 i =1 n

Example 1

We will fit a simple linear regression model to the oxygen purity data in Table

11–1. The following quantities may be computed:

20 20

n = 20 ∑x

i =1

i = 23.92 ∑y

i =1

i = 1,843.21 x = 1.1960 y = 92.1605

20 20 20

∑y

i =1

2

i = 170, 044.5321 ∑x

i =1

2

i = 29.2892 ∑x y

i =1

i i = 2, 214.6566

2

20

20 ∑ i x

( 23.92 )

2

i =1 20 20

and

20 20

20 ∑ xi ∑ yi ( 23.92 )(1,843.21)

S xy = ∑ xi yi − i =1 i =1 = 2, 214.6566 −

i =1 20 20

= 10.17744

Therefore, the least squares estimates of the slope and intercept are

ˆ S xy 10.17744

β1 = = = 14.94748

S yy 0.68088

and

βˆ0 = y − βˆ1 x = 92.1605 − (14.94748 )1.196 = 74.28331

The fitted simple linear regression model (with the coefficients reported to

three decimal places) is

yˆ = 74.283 + 14.947 x

This model is plotted in Fig. 11–4, along with the sample data.

Figure 11-

11-4 Scatter plot of oxygen

purity y versus hydrocarbon level

x and regression model ŷ = 74.20

+ 14.97x.

Computer software

programs are widely used in

regression modeling. Table

11–2 shows a portion of the

output from Minitab for this

problem. The estimates

are highlighted.

Estimating The error sum of squares is

σ² n n

SS E = ∑ e = ∑ ( yi − yˆi )

2 2

i

i =1 i =1

sum of squares is

E ( SS E ) = ( n − 2 ) σ 2 .

Estimating σ²

An unbiased estimator of σ2 is

SS E

σˆ 2 =

n−2

SS E = SST − βˆ1S xy

Slope Properties:

σ2

( )

E βˆ1 = β1 ( )

V βˆ1 =

S XX

Intercept Properties:

1 x 2

( )

E βˆ0 = β 0 ( )

V βˆ0 = σ +

2

n S

XX

Estimated In simple linear regression the estimated standard error

of the slope and the estimated standard error of the

Standard

intercept are

Errors

σˆ 2 1 x 2

( )

se βˆ1 =

S XX

( )

ˆ 2

se β 0 = σˆ +

n S

XX

11.4.1 Use of t-Tests

H 0 : β1 = β1,0

H1 : β1 ≠ β1,0

βˆ1 − β1,0

T0 =

σˆ 2 S XX

11.4.1 Use of t-Tests

βˆ1 − β1,0

T0 =

( )

se βˆ1

t0 > tα 2,n − 2

11.4.1 Use of t-Tests

H 0 : β 0 = β 0 ,0

H 1 : β 0 ≠ β 0 ,0

βˆ 0 − β 0 ,0 βˆ 0 − β 0 ,0

T0 = =

1

2

σ +

ˆ

x

2

( )

se βˆ 0

n S XX

11.4.1 Use of t-Tests

t0 > tα 2,n − 2

11.4.1 Use of t-Tests

is

H 0 : β1 = 0

H1 : β1 ≠ 0

regression

linear relationship between x and Y.

11-5 The hypothesis H0: β1 = 0 is not rejected.

Figure 11-

Figure 11-

Example 1

We will test for significance of regression using the model for the oxygen

purity data from Example 11-1. The hypotheses are

H 0 : β1 = 0

H1 : β1 ≠ 0

and we will use α = 0.01. From Example 11-1 and Table 11-2 we have

so the t-statistic becomes

t0 = = = = 11.35

σˆ 2 S XX ( )

se β1ˆ 1.18 0.68088

Example 1

Practical Interpretation:

Since the reference value of t is t0.005,18 = 2.88, the value of the test

statistic is very far into the critical region, implying that H0 : β1 = 0 should

be rejected.

There is strong evidence to support this claim.

−9

The P-value for this test is P 1.23 × 10 . This is obtain manually with a

calculator.

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