《实用回归分析》复习题.pdfVIP

回归分析复习题 1. (15’)设P 和P 为两个投影阵，则 1 2 （1）P P P 为投影阵PP P P 0 ； 1 2 1 2 2 1 （2 ）M P P 为投影阵PP P P P 。 1 2 1 2 2 1 2 2. 在用逐步回归的方法来选择自变量的过程中，为什么剔除自变量的显著性水平不能小于引入 自变量的显著性水平。若引入自变量的显著性水平和剔除自变量的显著性水平相等，且第一 步和第二步能引入两个自变量，试证明第三步不可能剔除任何自变量。 3. (a) Let Z , , Z be independent normally distributed random variables with E (Z )  , 1 n i i Var( Z ) 1. Define the non-central chi-square distribution in terms of the distribution of a random i variable C , which is some function of the Z s. (You dont need to derive a density function, just i state that the non-central chi-square distribution is defined as the distribution of C ). What is the degrees of freedom? What is the non-centrality parameter? (b) Let Y ~ N(, I) ，where Y is an n 1 random vector. Prove that if A is an n n symmetric idempotent matrix of rank d ，then the quadratic form has a non-central chi-square distribution. Give the degrees of freedom and the non-centrality parameter (which should be given as a function of A and ). (c) Consider the general linear model of full rank Y X assuming E () 0 and 2 2 Cov()  I and X is n p of rank p . Derive E(S ) where 2 ˆ ˆ ˆ ， S (Y X ) (Y X ) /(n p )