!

"#$%&'()*+%*,,-%*+
./0%*,#-(123,$4(5 6#-&(#
!"#$%#&'#("#&)*+*,"-*.&/01
2"#$%#-#("#3%*+*,"-*45*+"-"3"6

!"#$%&'()*)%+,-.&$ /)012,3 4)%+,-.&$ 56) 0--17&8 !.,.7'.7%' ,38)9$":,:717.; <"$)=3>73&&$' ?@ABA)

C"3.>"D&$;),38)EABA)F#3>&$ G H"+3)I71&; J)!"3' K38)&87.7"3
 How can we decide whether the standard model is
appropriate?

!"#$%&'()(*%'(%* 4'0'<"*)1*,.('*$=*
Assumptions +%$*,&',-*%&'* >)$7.%)$1
.((/0#%)$12

3?.##)1?
“independence” 3 4/1(*%'(% 3@.%,&)1?
(random pattern)
3 5.6%7'%%8(*%'(% 3+9)1'.62*6'?6'(()$1
3 95:8(*%'(% 3A)0'*('6)'(*+B4CDB2

Normal
distribution
;$60.7)%"*%'(%* A6.1(=$60*<.%.

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 Gapping
A first (trivial) method to deal with autocorrelated data consists of
reducing the sampling frequency
! With reference to previous data – let’s take one data out of 10.

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!
 Batching

A second approach to “remove” the autocorrelation is batching *:

! This is a model-free approach.
! The sequence of data is organized in sequential batches (not
overlapped) and it is considered the average of values in each
batch.

! #
" ! = ! "' ! "!&# + $ %%%%%%%%%%%%%% ! = !"#"$$$
# $ =!

"#$%&'$()'*%&+,)(#$-.%/$01#-+(12%3,(&+%41,$%5/34%6'$()'*%&+,)(%7889:
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!
Batching
Ex:
1000 data from a chemical process

b = 10

5
 Batching

The main disadvantage of batching is the difficulty to define the

appropriate value of b (batch size).

Some empirical approaches have been proposed.

Ex:
1. Initialize b=1
2. Compute the autocorrelation coefficient at the first lag
3. If the coefficient is smaller than 0.1 go to step 5
4. Set b=2*b, go to step 2
5. end

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!
 Gapping/Batching

1: Both the approaches are applicable to stationary processes (constant

mean)

2: Both the approaches induce loss of information

These are approaches aimed at avoiding to deal with the autocorrelation issue
instead of facing it.
How can we identify the appropriate model in case of nonrandom data?
-Regression
-ARIMA

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!
 Process model

Basic model: "! = µ! + ! !

with !µ! = µ'''!"#$%& # ! + ) #$%&'("" !* !

"##$%& '#(!!

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!
 Linear regression

We can look for the model/coefficients to minimize the Sum of Squared Errors
(Minimum Mean Squared Error – MSE – approach)

"! = µ! + ! ! From this model, we take new data

#"$ $$$$$$$" = !"###" !

! " !
$$% = ! $ #" " µ" # = ! # " "
" =! " =!
Observed data Deterministic (assumed known)

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!
 In order to identify the model:
1. we have to assume the model “structure”

ex : µt = cost, µt = at + b,
µt = at 2 + bt + c, µt = a ln t,
(! "2 = cost)
For the sake of simplicity che can assume models linear with reference
to the unnown parameters: LINEAR REGRESSION

ex: non linear : µt = at + bt c

if it were µt = bt c ! ln µt = ln b + c ln t (linear)

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!"
2. We have to estimate the unknown parameters by minimizing SSE

! " !
$$% = ! $ #" " µ" # = ! # " "
" =! " =!
Observed data Unknow mean (deterministic)

ex : µ̂t = côst, µ̂t = ât + b̂, µ̂t = ât 2 + b̂t + ĉ, µ̂t = â ln t
324'/5
"! = µ! + ! ! "! ! = µ! ! "#$%&'$()*+)$,()-($(.&%/%#$%0
1'.$)*+)$,()&*-(2

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!!
 It is a general model, whereµt = µ (cost) is a special case:
Assume the “true” model is µt = b 0
– From this model we observe datayt t = 1,..., n

Assumed model: Yt = µ + e t = b 0 + e t
n 2 n
Let find bˆ0 = b0 so to minimize SSE: SSE = å ( yt - µt ) = å e t 2
t =1 t =1

12
 Regression

observed
n assumed
SSE = å ( yt - b 0 )2
t =1
¶SSE n n
= -2 å ( yt - b0 ) = 0 å yt - nb0 = 0
¶b 0 t =1 t =1
1 n n n
Þ b0 = å yt = y = = - ˆ 2
= - 2
n t =1 SSE ( b0 ) SSE å t( y y ) å t 0
( y b )
t =1 t =1

Difference:
S(b0) function to be minimized yˆ = y
SSE = min S ( b0 )
b0

13
 TREND
50 sequentially produced items: elongation of a spring subject to a
force of 20 g
(Deming 1986: deming.dat)
! "#$%&'( ! "#$%&'( ! "#$%&'( ! "#$%&'( ! "#$%&'(
) *+**),-, )) *+**).., /) *+**)/*0 .) *+**))*1 ,) *+***1-,
/ *+**),21 )/ *+**)*0. // *+**)/), ./ *+***33- ,/ *+**))*)
. *+**)./ ). *+**)/*0 /. *+**)*10 .. *+***311 ,. *+***1,
, *+**).). ), *+**))*) /, *+**)//) ., *+***31) ,, *+***1-,
- *+**)/*0 )- *+**))*) /- *+**).., .- *+***30, ,- *+***0/
2 *+**).., )2 *+***30, /2 *+**)*3, .2 *+**)*3, ,2 *+***30,
0 *+**)//) )0 *+**)/ /0 *+***30, .0 *+***31) ,0 *+***1-,
1 *+**),-, )1 *+**)/ /1 *+**)))- .1 *+***12) ,1 *+***30,
3 *+**)/ )3 *+**)*0. /3 *+***30, .3 *+**)*10 ,3 *+***1,0
)* *+**)/), /* *+**)/ .* *+**))*) ,* *+***31) -* *+***2/)

"'""!&

34
#!
2034/3567

-./012

"'""!"
$

0-,*12
!
"'"""&
!"!!!+!"!!!*!"!!!)!"!!!(!"!!#!!"!!##!"!!#'!"!!#&!"!!#%!"!!#$ ()*+, !" #" $" %" &"
,-./01
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!"#$%&'()*+%*,,-%*+ ./
Trend
Trend? “True” model Yt = b 0 + b1xt + e t (1)
– In the example :
xt = t regressor or predictor
– Observations: yt t = 1,...,n

Estimated model yˆt = b0 + b1xt

where b0 = β̂0 b1 = β̂1
n
2
Find b0 ,b1 to minimize (
SSE = ∑ yt − β0 − β1xt )
t=1
& ∂SSE
n
( =0
2 ( ∂β0 β̂0 = b0
( )
SSE = ∑ yt − β0 − β1xt → '
( ∂SSE
⇒
β̂1 = b1
t=1 =0
( ∂β1
)
n
∂SSE
∂β0
( )
= −2∑ yt − b0 − b1xt = 0 ny − nb0 − nb1x = 0 ⇒ b0 = y − b1x
15
t=1
 !
&&' = ! ( $" " % # " %! #" )" "" = # # "!!
" =!
$&&'
$%!
= #$$$$$$$
$&&'
$%!
! !
(
= "" ! #" ( $" " %# " %! #" ) = "" ! #" $" " #" $ + %! #" # " %! #" " = #
" =! " =! observe that
)
!

" =!
!

" =!
( )
"
! (#" $" " #" $ ) + %! ! #" # " #" = #$$$ # # "
n

( xt ! x ) =
n

"( y ! y ) = 0
t
t=1 t=1
! !
(! " ) !
! (#" $" " #" $ ) " # ! ( $" " $ ) + %! ! #" # " #" + %! # ! (#" " # ) = #
" =! " =! " =! " =!
!
(
! " "
! (#" $" " #" $ " # $" + # $ ) + %! ! #" # " #" + # #" " # = #
" =! " =!
)
! ! "
! (#" " # )( $" " $ ) " %! ! (#" " # ) = #
" =! " =!
!
! (#" " # )( $" " $ )
# %! = " =!
!
! (#" " # )
" $%&$
" =! !"

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 Cont.

Therefore Yt = !0 + !1 xt + !t ! ŷt = b0 + b1 xt
$ n
& # t=1
(xt " x )(yt " y )
&& b1 = n

min SSE ! % # t=1

(x t " x ) 2

&
&
&' b0 = y " b1 x

n
Sxx = " (xt ! x )2 Sxy
t=1
define n
# b1 =
Sxy = " (xt ! x )(yt ! y ) Sxx
t=1
!"

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 Observe that

! !"#$%& #$%&'()(&*(&++$,%
#$%&'()(&*(&++$,%' -$(+.),(/&()0,/&#
1.)$+)-2%3.$,%),-),%&)+$%*#&)(&*(&++,( 4#$%&'()-2%3.$,%),-)!"#"5

! 6'7)'..&%.$,%8
!0 , !1 deterministic values (unknown)
b = !ˆ , b = !ˆ random variable (they are function of observed data)
0 0 1 1
! 1-).9&).(2&)0,/&#)$+)&:2'#).,).9&)'++20&/),%&8
! ;%<$'+&/)&+.$0'.,(+8) "$!" # = ! " %%%"$!!# = !!
! =$%)>'($'%3&)&+.$0'.,(+)4'0,%*)'##).9&)2%<$'+&/)&+.$0'.,(+5
! 6'7)'..&%.$,%).,)3,00,%)&((,(+ $%)(&*(&++$,%8
? @.(,%*)(&#'.$,%+9$A)'0,%*)>'($'<#&+)/,&+)%,.)0&'%)3'+2'#)
(&#'.$,%+9$A
? B9&)$/&%.$-$&/)(&#'.$,%+9$A)$+)>'#$/),%#7)$%).9&)&CA#,(&/)$%.&(>'#),-)!
B9&)$/&%.$-$&/)(&#'.$,%+9$A)$+)>'#$/),%#7)$%).9&)&CA#,(&/)$%.&(>'#),-)
A'7)'..&%.$,%).,)
A'7)'..&%.$,%).,)!"#$%&'(%#)'* !"

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 deming.dat

$#! = #" + #!"!

!"

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 Multiple linear regression

Sometimes we have more than one regressors: multiple linear regression

often a matrix-form notation is used:

! y $ ! 1 x11 ! x1k $! ! ! $
$ # i &
# 1 & # & !0
# & # ! ! " ! &# & # &
& # !
# &=# &# !1 &
# yi 1 xi1 ! xik &# & + # !i &
#
& #
& # ! ! " ! &#
# ! !!!!!!!!!!!
& # & ! ! = "! + "
# & # &" !k & # ! &
#" yn &% #" 1 xn1 ! xnk & % #! &
% " n %
n '1 n'k k '1 n '1 !"

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 ! !ˆ = ( X ' X )!1 X ' y
( X ' X )!1 exists if the regressors are linearly independent
(no column of X is linear combination of the other columns)

E(!ˆ ) = ! Cov(!ˆ ) = ! 2 ( X ' X )!1

orthogonal columns: X 2 ' X1 = 0

! ŷ = X !ˆ = X ( X ' X )!1 X ' y = Hy

! $ !"# #" ! ! ! % "! #!"# !"#$ ! $%"" ! ! $

!"

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 Trend: regression output

!"#$"%%&'( )(*+,%&%-./&%0$*.1"$%0%.2 "#$%#&&'() #*+,-'()

The regression equation is ./0(-1#&'& -#&-
misura = 0.00137 -0.000011 t

Predictor Coef SE Coef T P

Constant 0.00136522 0.00002914 46.84 0.000
t -0.00001066 0.00000099 -10.72 0.000
2(#33'4'#)- (35
S = 0.0001015 R-Sq = 70.5% R-Sq(adj) = 69.9%
6#-#%7'),-'()
8&-'7,-#5(3 "! "!
Analysis of Variance
Source DF SS MS F P
Regression 1 1.18428E-06 1.18428E-06 114.96 0.000
Residual Error 48 4.94479E-07 1.03017E-08
Total 49 1.67876E-06 !!

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 Test of hypothesis

misura = 0.00137 -0.000011 t

!#$%
#$%&'
&' ()&' *%
*%+,*-
+,*- (+,./0%1
(+,./0%1'-23,
'-23, &' '2%
'2%4-2',
4-2', (2%#5
%& ,%%' +*./29%C*+&*:-,'$
DEFGE%>
H 0 : !i = 0 H1 : ! i ! 0 for a given i

DEFGE%!$ H : !1 = !2 = .... = ! K!1 = 0

0

H1 : ! j " 0 for at least one j

67.89:,+ 2;%+,<+,''2+' 1!5=>
?*@%*((,.(&2.$
A2+%(),',%(,'('%B,%.,,/%(2%*''89,%.2+9*-&(@% *
;2+%(),%""#$ !! ) #$%&'("" ! ! !"

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 TEST 1 " " # "! = "!!!!!!!!!"$ # "! ! "!

!) # $%&'"( & %# & $$$') = ' " + '!!) + % ) # $%&' ' " + '!!) ( & %# &
")(=! ' !) ! ! &' #) ! # &
"! = $$$%$$$"" = # ! "!! #$%&'()%*$&+,-.()*/(,)&,0&1*/*&!"#$
#
")(=! ' !) ! ! &

! "! (-! = )*+,((!"#$%&'

2% +*)&34,5&/4*/6

(' ! 7'%*3%&),/%6
% & )(# $ = % &$# $ = )#''''''''''''%&$# $ =
" !!
x
&# ! # ! Cov( !ˆ0 , !ˆ1) = !! "2
% & )(" $ = % &$" $ = ) " ''''''''''%&$" $ = ( ' $ + S xx
!
!
$% # " !! !"
!"

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 ! !
"" # = #
& =%
!
%& = #
& =%
$ $& ! $" & # !
#$$%$&'()&%*&'+(,$-.
! ! "" #
# $ "" # # = $! ! !#% $ " %" $ =
!!!
•S = 0.0001015 R-Sq = 70.5% R-Sq(adj) = 69.9%

#./0),/-1&./,21,$1&1-30,/0%2&4-./0),/-1&./,21,$1&-$$%$56

"! ! !$" #
%&"" ' = %& #$" ' = !"%#$!& = !# =
# !! ! $ %%
$ " !
!
%
$
%&"# ' = %&# # ' = " ! & +
!
' $! %# %
#
!"%#$" & = !# = !$" & + '
&( $ # !! ') " & & $ %% '
( )
Predictor Coef SE Coef T P
Constant 0.00136522 0.00002914 46.84 0.000
t -0.00001066 0.00000099 -10.72 0.000 !"

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 Comments on
! = "! !
S is the standard deviation of residuals: it is an estimate of the standard
deviation of the random component of the model.
Therefore, the error variance is the expected value of the squared
errors:
! "2 = E(!t ! µ! )2 recall the assumption µ! = 0 ! ! "2 = E (!t2 )
!
! $$ #
"
$$ # =
!
!
" =!
% %" " %$ " # " =
!

But this estimator is a biased estimator – the unbiased estimator is:

! ## ' ## '
#" " = &# ' = = Mean
n Squared
d Errorr (MS
S E)
$% ' " ! !
with K=number of regressors+1
!"

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 TEST 1 " " # "! = "!!!!!!!!!"$ # "! ! "!

! bi (i = 0,1) normally distributed with estimated standard deviation given by sbi

Predictor Coef SE Coef T P

Constant 0.00136522 0.00002914 46.84 0.000 (1)
t -0.00001066 0.00000099 -10.72 0.000

bi ! !i
t0 = ~tn-K t Student n - K degree of freedom (dof)
sbi

K = number of regressors +1 -in the example 1! regressor (xt = t) ! K = 2

!"

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 TEST 1
#$%&' ()%*+,-.
bi ! 0
" " # !! = "! t0 = ~tn-K t Student n - K dof
sbi
In the ex:
Predictor Coef SE Coef T P
Constant 0.00136522 0.00002914 46.84 0.000 (1)
t -0.00001066 0.00000099 -10.72 0.000
-0.00001066-0
b1 = !10.77
0.00000099
(in mtb -10.72 because of the larger number of digits)

!"#"$%&'()*+',&-'."&'/0*1"02&'/0
Student's t distribution with 48 DF
x P( X <= x )
-10.7700 0.0000
p-value=2(0.0000)

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!"
 Confidence interval (approx) for coefficients

bi ! !i
t0 = ~tn-K
sbi
$% $ " %
$ &! $ #"!"# # # &! $ #"!"# !!
'$%

"! $ '! $ #"#$% &"! # "! # "! + '! $ #"#$% &"! !

!#! !#!

for !1 :
" = 5% ! t0.025,48 = 2.0106
-1.066 "10 -5 - 2.0106(0.099 "10 -5 ) # !1 # -1.066 "10 -5 + 2.0106(0.099 "10 -5 )
-1.265 "10 -5 # !1 # $0.867 "10 -5
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!"
 Confidence interval for the mean

# $" " !! # = µ" " !!

For a given xt=x0
! && % !" ' ! $ ! #
µ$" # !! = !$! + !$" !! % % µ' " # !" $ = ) ( $ + !
% $ # !! "
Point estimate µ$! ! "" # µ! ! ""
$ %%#$ #
% #&
( & " # " '
"$! # ' + " (
') # & "" (*

" 2%
ˆ 2 $ 1 (x0 ! x ) '
µ̂Y |x ! t! /2,n-2 !" +
0 $n
# S xx '&

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!"
 (#!!)*+,#-)+./0!
@:9A82=B=="'""&$+!=.="'""""&&=C
"'""&! -678699:;<
(!0=>?
"'""&#
, "'"""&"&!
"'""&$ -.,/ *"'!0
-.,/12345 +('(0
"'""&%

"'""&&
"#$%&'

"'""&"

"'"""(

"'""")

"'"""*

"'"""+
" &" %" $" #" !"
!

!"

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 Prediction of future data

Ex next data (at time 51):

Point prediction
0.001362 -0.00001066 t
using t=51 we obtain 0.00082156

Prediction with confidence interval:

First approx we use S = 0.0001015= "! !
at t=51: interval 0.00082156 t !/2,n-K S : (0.000616924, 0.001025076)

!"

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 Minitab:
Predicted Values for New Observations

NewObs Fit SE Fit 95.0% CI 95.0% PI

1 0.000821 0.000029 (0.000763,0.000880)(0.000609,0.001034)

D;.-4.1':34-./-19:3'+&(9+,E
# "
# = µ ! + ! ! # " $ µ# ! " + " !!
"$ %&'(&)(*(+,-./-0&+&-&).1+-+23-34+(5&+30-5.03*-6!7
#$ 89:3'+&(9+,-./-+23-34+(5&+30-5.03*-;(+2-'34<3:+-+.-+23-+'13-.93
=.'-9-'3&4.9&)*,-*&'>3-69?@!A7B-+23-43:.90-4.1':3-./-C&'(&)(*(+,-(4-45&**
!!

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 Prediction of a new observation

Prediction of a future observation Y0

"#! = !#! + !#" !! Y0 ! Yˆ0 = prediction error

!
& ! & % $ ! ' ! # #
% $$ ' $" # = ) ( $% + + "
!
% # " !! "
!
! & & % ! ' ! $ #
#$%&'' %()*+,$)%$ +)-$./&' *(.0-1$02$&) % % µ' " # !" $ = ) ( $ + "
!
% $ # !! "
" 2%
2$ 1 (x ! x ) '
ŷ0 ! t! /2,n-2 ! " 1+ + 0
ˆ
$ n S xx
'
# &
!"

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 (#!!)*+,#-)+./0!
@98A7/<B<<"'""&$3!<+<"'""""&&<C
*5675889:;
4!-<=>
"'""&!"
4!-<?>

) "'"""&"&!
*+), ("'!-
"'""&%! *+),./012 34'4-
"#$%&'

"'""&""

"'"""(!

"'"""!"
" &" %" $" #" !"
!

./

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!"#$%&'()*+%*,,-%*+
TEST 2:H 0 : β1 = β2 = .... = β K−1 = 0 NB:
- K=number of regressors (p)+1=2
H1 : β j ≠ 0 for at least one j - The constant b0 is excluded

Based on AnOVa (Analysis of Variance) test

n 2
0.0015
å ( yt - y ) =
t =1
n n
= å ( yt - yˆ t ) + å ( yˆ t - y ) 2
2
0.001

t =1 t =1
0.0005
0 10 20 30 40 50

DIM
0.0015 0.0015

0.001 0.001

0.0005 0.0005
0 10 20 30 40 50
0 10 20 30 40 50
Quality Engineering 36
 n 2 n 2 n 2
å ( yt - y ) = å ( yt - yˆ t ) + å ( yˆ t - y )
t =1 t =1 t =1

SST = SSE + SSR

Degree of freedom n

df R = K -1 Variability explained by the regression

model
SS R = å
i =1
( yˆ i - y ) 2
n

df E = n - K Variability not explained by the regression SS E = å ( yi - yˆ i ) 2

model i =1
n
dfT = n - 1 Total variability SST = å
i =1
( yi - y ) 2

Analysis of Variance
Source DF SS MS F P
Regression 1 1.18428E-06 1.18428E-06 114.96 0.000
Residual Error 48 4.94479E-07 1.03017E-08
Total 49 1.67876E-06

Quality Engineering 37
 SS R SS E
MS R = MS E =
df R df E
MS R
se H 0 è vera, allora ~ F ( K - 1, n - K )
MS E
Analysis of Variance
Source DF SS MS F P
Regression 1 1.18428E-06 1.18428E-06 114.96 0.000
Residual Error 48 4.94479E-07 1.03017E-08
Total 49 1.67876E-06 1-1.0000

Cumulative Distribution Function

F(K-1,n-K) F distribution with 1 DF
in numerator and 48 DF in
p-value denominator

0 x P( X <= x )
MSR/MSE 114.9600 1.0000
Quality Engineering
38
!" #$%&'()*+,(-./$'0$$*.1231.!.&*4.123156.7(',.)*$.+(*8%$.9)$::(9($*'
! ! #""""$ = !
!$ #"""" "$ ! !

01,(&23(&,4&4(#-,(%5,*&%6#$7(8,(6#*(4132(&1#&9
*
&* ' ( & &* ' ( #
'( = )' ' !+, ))()$'( " = $
* ! = #$ ) ' " $%& ! # !"
%&* $ %& ! #$ (
% * "
: ;9 <3-(0)=0(>9(?*(3-5,-
3-5,- &3("4,(&1,(&,4&(3*(
&3("4,(&1,(&,4&(3*(! 63,<<%6%,*&4 #& &1,(4#@,
&%@,A(63*4%5,- &1,(<#@%$'(,--3- -#&,(! B%& %4 #6&"#$$' C,&&,- "4%*+ #(
63*4%5,- &1,(<#@%$'(,--3-
5%<<,-,*& #DD-3#61 E &1,(,F&-#(4"@(3<(4G"#-,4H
! !!"#
!% = %%%%%%%%$% = $"###" $ # ! ! " %! % = ! !!"#
$ % =$"##" $

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S = 0.0001015 R-Sq = 70.5% R-Sq(adj) = 69.9%

n
SS R = å
i =1
( yˆ i - y ) 2 Variability explained by the regression model

n
SS E = å
i =1
( yi - yˆ i ) 2 Variability not explained by the regression model

n
SST = å
i =1
( yi - y ) 2 = SS R + SS E

2SS R It is a measure of the percentage of variability observed in the

R = data that is explained by the estimated regression model
SST

Quality Engineering 40
 Comments on R2

Pay attention to use R2 as a measure of adequacy of the estimated model

(check of residuals)
Please note that R2 does never decrease when new regressors are included

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