Exercises for the lecture

Institute for Statistics

Linear Models Daniel Ochieng
MZH, Room 7240
E-Mail: dochieng@uni-bremen.de
Summer Semester 2024

Exercise 02
th
Submission by Thursday, 16 May 2024, 8:30 A.M. followed by a tutorial at the same time.
Handwritten/software solutions or electronically by e-mail to dochieng@uni-bremen.de.
Attempt the tasks in groups of at most three individuals.

4. Programming task I.
(a) Explore the multiple linear regression, i.e., mlm2 for this data by adding (more) inter-
actions that you may think are practically important in predicting life expectancy.
(b) Re-evaluate the residual diagnostics for your selected model to see whether or not you
can identify a better model to model life expectancy.
(c) Refit mlm3 adding quadratic terms into mlm3 and re-evaluate the residuals plots using
residual plots.
5. Likelihood ratio test
Let Yj , j = 1, . . . , n be independent random variables such that Yj ∼ N (λ+β(xj −x̄), σ 2 ); xj , j =
1 Pn
1, . . . , n are known constants, x̄ = xj , and λ, β, σ 2 are parameters.
n j=1
(a) Find the likelihood ratio test for testing the hypothesis H : β = β0 against the alterna-
tive K : β ̸= β0 at level of significance α.
(b) Set up a confidence interval for β with confidence coefficient 1 − α.
6. Estimation of the error variance.
Suppose that Y = Xβ + ε where ε ∼ Nn (0, σ 2 I) and X is n ∗ (p + 1). Let βb be the least
squares estimator of β.
b 2
||Y − X β||
a) Show that S 2 = is unbiased estimator of σ̂ 2 .
n−p−1
b) Suppose the random variable in ε are uncorrelated with common variance σ 2 . Show
that S 2 is an unbiased estimator of σ 2 .