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STA 302 / 1001 - Summer 2010 Term Test
STA 302 / 1001 - Summer 2010 Term Test
STA 302 / 1001 - Summer 2010 Term Test
n n
i i i i
i i
n n
i i
i i
n n
i i
i i
n
i
n i
i
i
n n n
i i i i
i i i
h
X X Y Y X Y nXY
b b Y b X
X nX X X
X
Var b Var b
n
X X X X
X
Cov b b SSTO Y Y
X X
SSE Y Y SSR Y Y b X X
Y Va
= =
= =
= =
=
=
= = =
= = =
| |
|
= = +
|
\
= =
= = =
=
{ }
( )
( )
( ) ( )
( ) ( )
{ }
{ }
( )
( )
2
2 1
2
2 2
1
1 1
2
2 2
2
1
1
1
n
h i i
i
h
n
n n
i
i
i i
i i
h
h h
n
i
i
X X X X Y Y
r Y r
n
X X
X X Y Y
X X
pred Var Y Y
n
X X
=
=
= =
=
| |
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= + =
|
( (
\
| |
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= = + +
|
Do not write in this table
Q1 Q2 Q3 Q4 Total
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[10 marks, 2 each]
1. Multiple Choice Questions: circle the correct answer (no explanation needed)
I. For an estimated simple linear regression model, you are given the
following two 90% intervals, corresponding to the same value for
h
X :
Interval A = [4.48., 5.82]
Interval B = [3.83, 6.48]
Only one of the following statements can be correct; which is it?
A. A is a prediction interval and B is a confidence interval
B. Both A and B are confidence intervals
C. A is a confidence interval and B is a prediction interval
D. Both A and B are prediction intervals
II. For a particular data set, the estimated slope is
1
3 b = and the coefficient
of determination is
2
0.2025 R = . What is the coefficient of correlation?
A. 0.041 r =
B. 0.041 r =
C. 0.45 r =
D. 0.45 r =
III. For a particular data set, the coefficient of correlation, r, is 1. Which of the
following is correct?
A.
1
1 b =
B.
1
1 b =
C. 0 MSE =
D.
2
.5 R =
IV. What is the minimum number of data points required for fitting a simple
linear regression model whose MSE is not necessarily zero?
A. 2
B. 3
C. 4
D. 5
V. Which of the following is NOT an assumption of the normal linear
regression model:
0 1 i i i
Y X = + +
A. The
i
X s are known and constant
B. The
i
s are uncorrelated
C. The
i
Y s have constant variance
D. The
i
Y s are independent of the
i
s
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[12 marks, 3 each]
2. A simple linear regression model is fit to initial data ( )
1
,
n
i i
i
X Y
=
, and the estimated
regression coefficients ( )
0 1
, b b are calculated. Let the sample means of these data
be
1
1 n
n i
i
X X
n
=
=
and
1
1 n
n i
i
Y Y
n
=
=
. Suppose you observe a new data point
( )
1 1
,
n n n n
X X Y Y
+ +
= = , i.e. the new point reflects the sample means of the initial
data.
I. Show that this new data point lies exactly on the regression line fitted to
the initial data.
Use the alternative representation of the fitted regression equation:
( )
1
i n i n
Y Y b X X = + . The point
( )
,
n n
X Y satisfies this equation, so it lies on
the regression line:
( )
1 n n n n
Y b X X Y + =
II. Suppose that you want to re-estimate the regression line including this
new point. Let ( )
0 1
' , ' b b be the updated coefficients using all 1 n + data
points ( )
1
1
,
n
i i
i
X Y
+
=
. Show that
0 0
' b b = and
1 1
' b b =
We have
( )
( )
1
1
1 1
1 1 1
1 1 1
n n
n i i n n n n
i i
X X X X nX X X
n n n
+
+
= =
= = + = + =
+ + +
,
and similarly for
1 n n
Y Y
+
= . Thus:
( )( )
( )
( ) ( )
( )
( )( ) ( )( )
( ) ( )
( )( ) ( )( )
1 1
1 1
1 1
1 2 2 1 1
1
1 1
1 1
1
2 2
1
1
1
'
n n
i n i n i n i n
i i
n n
i n i n
i i
n
i n i n i n i n
i
n
i n i n
i
n
i n i n n n n
i
X X Y Y X X Y Y
b
X X X X
X X Y Y X X Y Y
X X X X
X X Y Y X X Y Y
+ +
+ +
= =
+ +
+
= =
+ +
=
+
=
=
= = =
+
= =
+
+
=
( ) ( )
2 2
1
n
i n n n
i
X X X X
=
+
( )( )
( )
1
1 2
1
n
i n i n
i
n
i n
i
X X Y Y
b
X X
=
=
= =
and also
0 1 1 1 1 0
' '
n n n n
b Y b X Y b X b
+ +
= = = .
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You will now prove a more general result in this direction. You will show that the
addition of ANY new data point that lies on a fitted regression line does not affect the
fitted line. Consider again the initial data set ( )
1
,
n
i i
i
X Y
=
, and a new point
( )
1 1 0 1 1
,
n n n
X Y b b X
+ + +
= + , where ( )
0 1
, b b are the initial estimated coefficients and
1 n
X
+
can have any value. Let
2
1
n
n i
i
Q e
=
=
be the error sum of squares for the initial data,
and
1
2
1
1
n
n i
i
Q e
+
+
=
=
be the error sum of squares for all the data (including the new
point), both calculated using the initial estimates ( )
0 1
, b b .
III. Show that
1 n n
Q Q
+
=
( )
( )
2
1
2 2 2
1 1 1 1
1 1
2
0 1 1 0 1 1
n n
n i i n n n n
i i
n n n
Q e e e Q Y Y
Q b b X b b X
+
+ + + +
= =
+ +
= = + = + =
= + +
n
Q =
IV. Let ( ) ( )
0 1 0 1
' , ' , b b b b = be possible estimates, with corresponding error sum
of squares
1
2
1
1
' '
n
n i
i
Q e
+
+
=
=
. Show that
1 1
'
n n
Q Q
+ +
< , i.e. prove that the
initial least squares estimates are also the least squares estimates for the
entire 1 n + data points.
( )
( )
2
1
2 2 2
1 1 1 1
1 1
2
0 1 1 0 1 1
= = =
= = =
Thus,
( ) ( )
2
2
2
1
10690.91 1 .67
73.5
2 50 2
SSTO R
MSE
n
= = =
You decide to use sugar intake (SU) as your explanatory variable. However, just
using the weight of a person can be misleading, because some people have
naturally bigger/smaller built. The body mass index (BMI) is the most popular
measure for identifying weight problems (underweight, overweight and obese),
because it measures weight in relation to height. It is defined as the weight
divided by the squared height of a person, so you create the new variable
2
/ BMI W H = , from the original variables W and H. You fit the following model:
Model 3:
0 1
BMI SU = + + ,
with coefficient of determination
2
3
R , and mean squared error
3
MSE . You now
want to decide between Model 1 and Model 3.
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II. Does it make sense to compare
1
MSE to
3
MSE , and why?
(Note: a simple yes/no answer does not suffice, and will get 0 marks; you
need to justify your answer)
No, because the two models have different (although related) response
variables. Model 1 measures weight, whereas Model 3 measures BMI. Since
the variables are measured in different units, it does not make sense to
compare their mean squared errors.
III. Does it make sense to compare
2
1
R to
2
3
R , and why?
(Note: a simple yes/no answer does not suffice, and will get 0 marks; you
need to justify your answer.)
Yes, because the coefficient of determination is independent of units. It just
tells you how strong is the linear relationship between two variables, as a
percentage of the variance of Y that can be accounted for by the linear
regression model.
IV. If you wanted to select the model with the best predictive behavior for
weight, what quantities would you compare?
If you specifically want to compare the predictive behavior between two models,
the best thing to do is to compare their MSEs (because the MSE is the quantity
that primarily defines the prediction interval width). Here the two MSEs are in
different units, so what you can do is compare MSE
1
to the MSE of the estimates
from Model 3, after they are turned back into weight. For example, if
i
BMI is the
i
th
estimate from Model 3, you can calculate the estimated weight from Model 3
as
i i i
W BMI H = . You can then calculate the MSE of these weight estimates
from Model 3, and compare that to the MSE
1
. (Alternatively, you could do it the
other way round: i.e. compare MSE
3
to the MSE of the BMI estimates from
Model 1)
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[16 marks]
4. The data analyzed below come from a criminology study. The following variables
were measured from a sample of metropolitan areas:
murder_rate : the number of murders per 1,000,000 inhabitants per annum
unempl_rate : the unemployment rate as a percentage of inhabitants
The SAS output is given below. Note that some values are missing, and have been
replaced by letters.
I. [3 marks] Find the 6 missing values (A through F) in the output.
(A) = 18
(B) = 467.60228
(C) = 25.97790
(D) = 53.41
(E) = 4.19
(F) = <.0001
II. [3 marks] What is the sample standard deviation of the unemployment
rate?
( ) ( )
2 2
2 2
1
1 1
( ) 1387.59972 7.07955 ( )
n n
i i
i i
SSR b X X X X
= =
= =
( )
2
2
1
1387.59972
( ) 27.68553
7.07955
n
i
i
X X
=
= =
So,
2
1
( )
27.68553
1.207118
1 20 1
n
i
i
X
X X
s
n
=
= = =
.
2
2
7.31
1
r n
r
IV. [2 marks] What is the p-value for testing whether the correlation
coefficient is zero (H
0
: =0)?
Again, this is the same as the p-value for testing whether
1
0 = , i.e. <.0001
V. [3 marks] The sample mean of the unemployment rate is 6.935%. Build a
95% prediction interval for the murder rate of a city with 10%
unemployment.
= + + = + + =