ppt课件-10.2 fittingthe simple linear regression model（10.2 fittingthe简单线性回归模型）.pptVIP

Summary Linear regression analysis The Least squares (LS) estimates: b0 and b1 Correlation Coefficient ρ and r Probabilistic model for Linear regression: Confidence Interval Prediction interval Outliers? Influential Observations? Data Transformations? Correlation Analysis Model Assumptions * Least Squares (LS) Fit Sample correlation coefficient r Statistical inference on ?0 ?1 Prediction Interval Model Assumptions Correlation Analysis Linearity Constant Variance Normality Independence *  * Homework 5. Due Thursday, 9/24/2015Please solve the following two questions using SAS Homework 5. Continued * * * * * * * * * * * * * * * * * V. Nonlinear Regression - Gauss Newton * Now we will generalize the previous discussion of linear regression. Y=Xb+e: more general form of linear model. Definitions of y,X,etc: just writing out equation for many values of i, using vectors and matrices. Vectors are of length ND = # obs. If we calculate the sum of squared residuals using the expression y=Xb+e, and minimize it, we get the normal equations and their solution shown here. Show what Transpose is. * 4. Finance Application: Market Model One of the most important applications of linear regression is the market model. It is assumed that rate of return on a stock (R) is linearly related to the rate of return on the overall market. R = b0 + b1Rm +e Rate of return on a particular stock Rate of return on some major stock index The beta coefficient measures how sensitive the stock’s rate of return is to changes in the level of the overall market. * Example The market model Estimate the market model for Nortel, a stock traded in the Toronto Stock Exchange. Data consisted of monthly percentage return for Nortel and monthly percentage returnfor all the stocks. This is a measure of the stock’s market related risk. In this sample, for each 1% increase in the TSE return, the aver