THNG K

KINH DOANH

Bi 7:
Phn tch hi quy v
tng quan
Bi 7

NHNG CH CHNH
1.
2.
3.
4.
5.
Bi 7

Mi lin h gia cc hin tng KT-XH

v phng php hi quy tng quan
Xc nh m hnh hi quy tuyn tnh n
nh gi cng ca mi lin h v s
ph hp ca m hnh
c lng gi tr trong tng lai da
vo m hnh hi quy
M hnh hi quy bi
2

1. Mi quan h gia cc hin tng KTXH v phng php hi quy tng quan
Phn tch hi quy c s dng u tin d
on
Mt m hnh thng k c s dng d on
gi tr ca bin ph thuc hoc bin kt qu da trn
nhng gi tr ca t nht 1 bin c lp hay bin nguyn
nhn.

Phn tch tng quan c s dng lm thc

o ln trong mi lin h gia cc bin nh
lng
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Biu phn tn (Scatter)

th gm tt c nhng cp (Xi , Yi)

100

A x is
T itle

50
A x is T it le

0
0
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20

40

60
4

Cc loi m hnh hi quy

Mi lin h tuyn tnh thun

Mi lin h tuyn tnh nghch

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Mi lin h khng tuyn tnh

Khng c mi lin h

2. Xc nh m hnh hi quy
tuyn tnh n
Mi lin h gia cc bin l mt phng trnh ng thng
ng thng l ph hp nht vi d liu
Tham s
t do

Sai s

Yi = 0 + 1 X i + i
Bin
ph thuc
(kt qu)
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dc

ngu nhin

Bin c lp
(nguyn nhn)
6

M hnh hi quy tuyn tnh

ca tng th chung
Y

Yi = 0 + 1X i + i

Gi tr
quan st

i = Sai s ngu nhin

YX

= 0 + 1X i

X
Gi tr quan st
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M hnh hi quy tuyn tnh

ca tng th mu

= b0 + b1X

Yi

= Gi tr d on ca Y trong quan st i

Xi

= Gi tr ca X trong quan st i

b0

= tham s t do, dng c lng tng th

chung 0
b1 = dc ca mu c s dng c
lng tng th chung 1
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V d

Bn mun kim tra mi lin

h gia din tch cc ca
hng vi doanh thu hng
nm. D liu mu gm 7
ca hng c a ra. Tm
phng trnh tuyn tnh
ph hp nht vi d liu
ny
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Ca
hng

Din
tch

Doanh
thu
($000)

1
2
3
4
5
6
7

1,726
1,542
2,816
5,555
1,292
2,208
1,313

3,681
3,395
6,653
9,543
3,318
5,563
3,760
9

V d biu phn tn
12000
10000

A n n u a l S a le s
($ 0 0 0 )

8000
6000
4000
2000
0
0

2000

4000

6000

S q u a r e Fe e t

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10

Phng trnh tuyn tnh tt nht

Y i = b0 + b1 X i
= 1636 . 415 + 1 . 487 X i
T
Excel:

H s hi quy
Bin t do 1636.414726
1.486633657
Bin X
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11

 th tuyn tnh tt nht

Doanh thu hng nm
($000)

12000
10000
8000
6000
4000

Yi =

2000

.
6
3
16

+1
5
41

Xi
7
8
.4

0
0

1000

2000

3000

4000

5000

6000

Din tch

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12

Thuyt minh kt qu

Yi = 1636.415 +1.487Xi
 dc l 1.487, ngha l mi khi tng X ln 1 n v ,
Y tng kho
ng 1.487 n v .
Mi khi din tch ca hng tng 1 n v , m hnh
d on rng doanh thu hng nm mong i s
tn kho
ng 1487$.

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13

Sai s chun ca m hnh

Syx =

SSE
n2

( Yi Yi )

i =1

n2

lch chun ca bin quan st nm gn

ng hi quy.
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14

Kt lun v h s hi quy
Kim nh t
Kim nh t v h s hi quy ca tng th chung
C mi lin h tuyn tnh gia X v Y khng?
Gi thit khng v Gi thit i
H0: 1 = 0 (Khng c mi lin h tuyn tnh)
H1: 1 0 (C mi lin h tuyn tnh)
Kim nh:

b1 1
t =
S b1

Trong , S

b1

SYX
n

2
(
X
X
)

i =1

V df = n - 2
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15

V d: Ca hng bn qu
D liu v 7 ca hng:

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Ca
hng

Din
tch

Doanh
thu
($000)

1
2
3
4
5
6
7

1,726
1,542
2,816
5,555
1,292
2,208
1,313

3,681
3,395
6,653
9,543
3,318
5,563
3,760

M hnh hi quy:

Yi = 1636.415 +1.487Xi
dc ca m hnh ny
l 1.487.
C mi lin h tuyn
tnh gia din tch v
doanh thu hng nm ca
cc ca hng?
16

Kt lun v h s hi quy
V d kim nh t
l
l
l
l
l

Bc b
.025

T Excel:
t S tat
Inte rce pt
3.6244333
X V a ria ble 1 9.009944

P-value
0.0151488
0.0002812

Ra quyt nh:

Bc b

Bc b H0

Kt lun:

.025

-2.5706 0 2.5706
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Kim nh:

H0 : 1 = 0
H1 : 1 0
= .05
df = 7 - 2 = 5
Gi tr ti hn:

C bng chng cho

mi quan h
17

Kt lun v h s hi quy
V d khong tin cy
c lng khong tin cy cho h s hi quy
b1 tn-2 Sb1
Low er 95% Upper 95%
475.810926 2797.01853
Inte rce pt
X V a ria ble 11.06249037 1.91077694

Vi mc tin cy 95%, khong tin cy cho dc l

(1.062, 1.911). Khng bao gm 0.
Kt lun: C mi lin h tuyn tnh ngha gia

doanh thu hng nm v din tch cc ca hng

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18

3. nh gi cng ca mi lin h
v s ph hp ca m hnh
Cc mc bin i:
SST = Tng bnh phng chung

_
o bin i ca gi tr Yi quanh gi tr trung bnh Y

SSR = Tng bnh phng c gii thch bng

hi quy
gii thch s bin i do mi lin h gia X v Y

SSE = Tng bnh phng do sai s

s bin i do cc nhn t khc ngoi mi lin
h gia X v Y
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19

Cc mc bin i
Y

SSE =
(Yi - Yi )2

_
SST = (Yi -

b0
Yi =

Y)2

_
SSR = (Yi - Y)2

Xi
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Xi
b
1
+

_
Y
X
20

V d
Kt qu t Excel ca cc ca hng
df
R e g re ssio n
R e sid u a l
T o ta l

SSR
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1
5
6

SSE

SS
30380456.12
1871199.595
32251655.71

SST
21

Xc nh h s xc nh

r2 =

SSR
SST

regression sum of squares

tng cc bnh phng

Cc mc v t l bin i c gii thch

bng bin c lp X trong m hnh hi quy

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22

Xc nh h s xc nh (r2)
v h s tng quan (r)
Y r2 = 1, r = +1

Y r2 = 1, r = -1
^=b +b X
Y
i

^ =b +b X
Y
i
0
1 i

X
Yr2 = .8, r = +0.9

X
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X
Y

^ =b +b X
Y
i
0
1 i

r2 = 0, r = 0
^ =b +b X
Y
i
0
1 i
X
23

Tng quan: thc o cng

ca mi lin h
Tr li cu hi Mi lin h tuyn tnh
gia hai bin mnh nh th no?
l c im ca h s tng quan
l

l
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H s tng quan ca tng th chung:

(Rho)
Kho
ng gi tr : t
-1 n +1
o m!c  ca mi lin h

L cn bc hai ca h s xc nh
24

V d

r2 = .94

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Kt qu Excel v cc ca hng:
R e g re ssi o n S ta ti sti c s
M u lt ip le R
0.9705572
R S q u a re
0.94198129
A d ju s t e d R S q u a re 0 . 9 3 0 3 7 7 5 4
S t a n d a rd E rro r
611.751517
O b s e rva t io n s
7
94% s bin i doanh thu hng nm c th
c gii thch bng s bin i v quy m
ca hng, o bng din tch

Syx

25

4. c lng gi tr trong tng lai

da vo m hnh hi quy
c lng khong tin cy cho XY
Gi tr trung bnh ca Y c tnh t 1 gi tr
c bit ca X (Xi)
Sai s chun
ca c lng

ln ca khong tin cy khc nhau, ph

thuc vo khong cch t trung bnh, X.

Yi t n 2 S yx
Gi tr t value t
bng vi df=n-2
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( Xi X )
1
+ n
n ( X X )2
i
i =1

26

c lng gi tr d on
c lng khong tin cy cho mt gi tr c bit
ca Y (Yi) ti 1 gi tr c bit ca X (Xi)
Thm 1 vo rng khong ny t
rng ca khong tin cy trung bnh Y

Yi t n 2 S yx

1
( Xi X )
1+ + n
n ( X X )2
i
i =1

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27

c lng khong tin cy cho

nhng gi tr khc nhau ca X
Y

Khong tin cy
cho trung bnh
ca Y

Khong tin cy cho

cc Yi

1X i
+
b
0
=
Yi

_
X
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X
Xi
28

V d: Ca hng qu
D liu v 7 ca hng:

Bi 7

Store

Square
Feet

Annual
Sales
($000)

1
2
3
4
5
6
7

1,726
1,542
2,816
5,555
1,292
2,208
1,313

3,681
3,395
6,653
9,543
3,318
5,563
3,760

D on doanh thu
hng nm ca ca
hng vi din tch l
2000 feet vung.
M hnh hi quy:

Yi = 1636.415 +1.487Xi
29

V d: Ca hng qu
c lng khong tin cy cho Yi
Tm khong tin cy 95% cho doanh thu trung bnh hng nm
ca ca hng rng 2,000 feet vung

Doanh thu d on: Yi = 1636.415 +1.487Xi = 4610.45 ($000)

X = 2350.29

Yi t n 2 Syx

SYX = 611.75

( X i X )2
1
+ n
n ( X X )2
i
i =1

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tn-2 = t5 = 2.5706

= 4610.45 980.97
Khong tin cy cho trung bnh
ca Y
30

V d: Ca hng qu
c lng khong tin cy cho XY
Tm khng tin cy 95% cho doanh thu trung bnh hng nm
ca 1 ca hng c din tch 2000 feet vung

Doanh thu d on: Yi = 1636.415 +1.487Xi = 4610.45 ($000)

X = 2350.29

Yi t n 2 Syx

SYX = 611.75

tn-2 = t5 = 2.5706

( X i X )2
1
1+ + n
= 4610.45 1853.45
n ( X X )2
Khong tin cy cho Y
i
i =1

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31

5. M hnh hi quy bi
M hnh hi quy bi
l Xc nh h s hi quy
l Xy dng m hnh
l

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32

5.1. M hnh hi quy bi

Mi lin h gia 1 bin ph thuc vi 2 hoc hn 2 bin
c lp l 1 phng trnh tuyn tnh

Population
Y-intercept

dc ca
tng th chung

Sai s
ngu nhin

Yi = 0 + 1X1i + 2X2i + + pXpi + i

Yi = b0 + b1X1i + b2X2i + + bp X pi + ei
Bin ph thuc
(kt qu) ca mu
Bi 7

Bin c lp (nguyn nhn)

trong m hnh mu
33

5.1. M hnh hi quy bi

Y

Yi = b0 + b1 X1i + b2 X 2i + + bp X pi + ei

ei
X2
X1

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Yi = b0 + b1X1i + b2X2i + + bpXpi

34

V d
Xy dng m hnh c lng
nhin liu s dng cho mt h gia
nh trong thng 1 trn c s nhit
bnh qun v dy ca tm
cch nhit o bng inches.

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Oil (Gal) Temp (0F) Insulation

275.30
40
3
363.80
27
3
164.30
40
10
40.80
73
6
94.30
64
6
230.90
34
6
366.70
9
6
300.60
8
10
237.80
23
10
121.40
63
3
31.40
65
10
203.50
41
6
441.10
21
3
323.00
38
3
52.50
58
10
35

V d
Yi = b0 + b1 X 1i + b2 X 2i + + bp X pi
Kt qu Excel

In te rc e p t
X V a ria b le 1
X V a ria b le 2

C o efficien ts
562 .151 00 92
-5.43 658 05 88
-20.0 123 20 67

Y i = 562 . 151 5 . 437 X 1 i 20 . 012 X 2 i

Vi mi mc tng ln ca
nhit , lng nhin liu trung
bnh c s dng gim
5.437gallons, trong iu kin
dy tm cch nhit khng i.
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Vi mi inch tng ln ca dy
tm cch nhit, lng nhin liu
trung bnh c s dng gim
20.012gallons, trong iu kin
nhit khng i.

36

S dng m hnh d on
c lng lng nhin liu bnh qun 1 thng
cho mi h gia nh nu nhit trung bnh l 30 v
dy tm cch nhit l 6 inches.

Y i = 562 . 151 5 . 437 X 1 i 20 . 012 X 2 i

= 562 . 151 5 . 437 30 20 . 012 6
= 278 . 969
Lng nhin liu trung bnh
d tnh l 278.97 gallons

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37

5.2. Xc nh h s xc nh bi
H s xc nh bi

Kt qu SPSS
Reg ressio n S tatistics
M ultiple R
0.982654757
R S quare
0.965610371
A djus ted R S quare
0.959878766
S tandard E rror
26.01378323
O bs ervations
15

Bi 7

rY2,12

SSR
=
SST

H s xc nh
iu chnh r2
Chu nh hng
bi s bin gii thch
v c mu
nh hn r2

38

Kim nh mc ngha chung

Ch ra c mi lin h tuyn tnh gia tt c cc bin
X vi Y hay khng
S dng kim nh F
Gi thit:
H0: 1 = 2 = = p = 0 (Khng c mi lin h
tuyn tnh)
H1: C t nht 1 i 0 (C t nht 1 bin c lp
nh hng ti Y)
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39

V d: Kt qu Excel
ANOV A
df
Re gre ssion
Re sidua l
Tota l

2
12
14

SS
228014.6
8120.603
236135.2

p = 2, s lng
bin nguyn nhn

MS
F
S ignificance F
114007.3 168.4712028 1.65411E -09
676.7169

p value
n-1

MRS
MSE = Kim nh F
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40

V d
H0: 1 = 2 = = p
=0
l H1: t nht 1 I 0
l

l
l
l

= .05
df = 2 and 12
Gi tr ti hn:

Bi 7

F =

168.47
(kt qu Excel)

Ra quyt nh:
Bc b vi = 0.05
Kt lun:

= 0.05

Kim nh thng k:

3.89

C bng chng chng

minh rng c t nht 1
bin c lp nh hng
ti Y
41

Kim nh ngha c bit

Cho bit c mi lin h tuyn tnh gia bin Xi v
Y hay khng
S dng kim nh thng k t
Gi thit:
H0: i = 0 (Khng c mi lin h tuyn tnh)
H1: i 0 (C mi lin h tuyn tnh gia Xi v Y)
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42

V d: Kt qu Excel
Kim nh t cho X1
(Nhit )
C o efficien ts S tan d ard E rro r
In te rce p t
562.151009
21.09310433
X V a ria b le 1 -5.4365806
0.336216167
X V a ria b le 2 -20.012321
2.342505227

t S tat
26.65094
-16.1699
-8.54313

Kim nh t cho X2
( dy)
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43

V d
Nhit c tht s nh hng ti nhu cu tiu dng
cht t hng thng khng? Kim nh vi = 0.05.
l

Bc b H 0

.025
-2.1788
Bi 7

Kim nh thng k:

H0: 1 = 0
H1: 1 0
df = 12
Gi tr ti hn:

t Test Statistic = -16.1699

Ra quyt nh:
Bc b H0 vi = 0.05
Kt lun:

Bc b H 0

.025
0 2.1788

C bng chng chng minh

rng nhit thc s nh
hng ti nhu cu tiu dng
cht t hng thng
44

c lng khong tin cy cho dc

Tm khong tin cy 95% cho dc tng th chung 1
(nh hng ca nhit i vi vic tiu th cht t).

b1 t n p 1Sb1
Coefficients
562.151009
Intercept
X Variable 1 -5.4365806
X Variable 2 -20.012321

Lower 95% Upper 95%

516.1930837 608.108935
-6.169132673 -4.7040285
-25.11620102
-14.90844

-6.169 1 -4.704
Lng tiu th cht t trung bnh gim trong khong t
4.7 gallons n 6.17 gallons mi khi nhit tng 10 F.
Bi 7

45

5.3. Xy dng m hnh

l

Mc ch xy dng m hnh vi s
bin nguyn nhn t nh#t
D dng thuyt minh
Xc sut cng tuyn nh hn

Hi quy tng bc
Nhm la chn m hnh ph hp

Bi 7

Tip cn tp hp con mt cch tt nht

46

TM TT
l

Bi 7

Cc loi m hnh hi quy

Xc nh m hnh hi quy tuyn

tnh n

Cc mc bin i trong hi quy

tng quan

c lng cc gi tr d on

Xc nh m hnh hi quy bi
47