ST-412/512

Methods od Data Analysis II

Some useful formulas

- Estimate of the common variance σ 2

Residual Sum of Squares
σ̂ 2 =
Residual degrees of freedom

- The t-statistic
coefficient
t-statistic =
standard error
- Sum of squares

SS(T otal) = SS(Regression) + SS(Residual)

df (T otal) = df (Regression) + df (Residual)

- ANOVA F -statistic
M S(Regression)
F =
M S(Residual)

- The extra sum of squares

ESS = SSR(Reduced) − SSR(F ull)

- The ESS F -statistic

Extra sum of squares
h i
Number of betas being tested
F-statistic =
Estimate of σ 2 from full model

- Coefficient of determination R2
SS(Regression) SS(Residual)
R2 = =1−
SS(T otal) SS(T otal)

2
- Adjusted coefficient of determination Radj

2 SS(Residual)/(n − p − 1)
Radj =1−
SS(T otal)/(n − 1)

- Model selection criteria:

SS(Res)
Cp = 2
σ̂F
−n + 2 × (p + 1)
ull
 
SS(Res)
AIC = n × log n
+ 2 × (p + 1)
 
SS(Res)
BIC = n × log n
+ log(n) × (p + 1)

Winter, 2019 1 Claudio Fuentes