Jednostavni regresioni linearni model

^ n XY X Y
b=
2
2
n X ( X )

a^ =Y b^ X

Y =a+bX +u

^ xy
b=
x2

X
X =
n

a^ =Y b^ X

Y
Y =
n

1
X 2
S a^ = ^ 2 +
n x2

^
S b=

e=Y Y^

y=Y Y

e 2= y 2 b^ 2 x 2

^
bb
t=
S b^

a^ a
S a^

b^ 2 x 2
R=
y2
^
bt
2

;nk

R 2=

^
S b^ b b+t
2

; nk

)2
X p X
(
1
S p= ^ 1+ +
n
x2
2

S b^

nk

b^ 2 x 2= b^ xy

e 2= y 2 b^ xy

r =R

e= y ^y

^y 2= b^ 2 x 2

e 2= y 2 ^y 2

t=

e2

^ =

^ 2
x2

R2=

^y 2
y2

b^ xy
y2

a^ t
2

F=

R2=1

R ( nk )
2

( 1R ) ( k1 )

e2
y2

;nk

S a^ a a^ +t
2

Y^ pY
t=
Sp

Viestruki linearni regresioni model

Y =a+b1 X 1 +b2 X 2 +u

a^ =Y b^ 1 X 1 b^ 2 X 2

^ ( x ' x )1 x ' y
b=

; nk

S a^

[]

1 '
b^ 1 (
= x ' x ) x y=
^b2

x 12 x 1 x 2
x1 x 2 x 22

] [ ]
x1 y
x2 y

[ ]

y 2[ b^ 1 b^ 2 ] x 1 y
x2 y
yb^ x ' y
=

e' e= y
^ 2=
nk
nk
'

nk

s a^ = ^ 2 X ' ( x ' x ) X

s b^ = ^ ( x ' x ) = ^
2

s b^ = Var ( b^ i )
i

x12 x1 x 2
x 1 x2 x 22

] [
1

Var ( b^ 1 ) Cov ( b^ 1 b^ 2 )
Cov ( b^ 1 b^ 2) Var ( b^ 2 )

[ ]

[ b^ 1 b^ 2 ] x 1 y
x2 y
b^ x ' y
R 2= ' =
y y
y2

]
2

F=

R ( nk )

( 1R2 ) ( k1 )