lecture6Word格式文档下载.docx

lecture6Word格式文档下载.docx

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,

hasbeenusedtofittheleastsquaresregressionline

.

Theithresidualis

Lemma1.Undermodel（2.1）,for

theresidual

followsnormaldistributionthat

and

Note:

When

islargeandX’sarewellspaced,

and

Aswealreadyknow,

Remarks:

Theresiduals

areinasensetheestimatorsoftheunobservedrandomerrorterms

StudentizedandSemi-studentizedResiduals

Let

denotetheestimatedstandarddeviation（i.e.,standarderror）oftheithresidual.ThentheithStudentizedresidualisgivenby

SuchmodifiedresidualsaresaidtobeStudentizedsincetheyareobtainedfromtheithresidualbysubtractingthemean

anddividingbyitsstandarderror.Thisproceduremimicstheprocedureusedtocomputetheteststatisticfortestingahypothesisaboutthemeanofanormalpopulationwhenthepopulationvarianceisunknown.Suchateststatistichasastudentt-distribution（withdegreesoffreedomn-1）.ThemodifiedresidualdefinedabovedosenotactuallyhasaStudenttdistribution,（

andSSEarenotindependent）,butitisobtainedbythesametypeoftransformationusedtoconstructrandomvariableshavingtheStudenttdistribution.Thusthename,Studentized.

Remarks

1.Onpage103ofyourtextbook,theauthordiscussessemi-studentizedresiduals.Theithsemi-studentizedresidualissimply

When

islargeandtheX’sarewellspaced,

sothat

.Thesemi-studentizedresidualsarecertainlyeasiertocompute（assumingthatyouhadtomakethecomputationyourself）,butSASwillcomputetheactualStudentizedresidualsuponrequest,sowhynotgowiththe“realthing”.

2.SAScanalsocomputewhatSAScallsRstudentizedresiduals.ThedifferencebetweenanordinarystudentizedresidualandRstudentizedresidualisthatfortherstudentizedresidual

isreplacedwith

where

Rstudentizedresidualswereproposedbybelsley,KuhandWelschintheirbook,RegressionDiagnostics（weiley1980）.Inthecontestofsimpleregression,theyclaimthatforeachi,rstudenthasapproximatelyaStudenttdistributionwithn-3degreesoffreedom.Rstudentresidualsaregoodfordetectingoutlierssinceanobservationwithalargeresidualtendsinflatethe

.Deletingthisobservationincomputingthe

meansthat

However,theauthorofyourtextdonotdiscussRstudentizedresiduals（theycallthemdeletedstudentnizedresiduals）untilChapter9or10,sotokeepthingssimple,wewillwaittillthentodiscussthistypeofresidual.

ResidualPlots

Insimplelinearregression（onepredictorvariable）,residualsareusuallyplottedagainsttheircorresponding

valueoragainsttheircorrespondingpredictedvalue

.（Inmultipleregression,wheretherearemanydifferent

’s,residualsareusuallyplottedagainst

.）Residualsareneverplottedagainstthecorrespondingactual

becausethesetermshaveapositivecovariance,whichwouldappearasapositivetrendintheplot.Ontheotherhand

and

areuncorrelated.

（

So,

）

Iftheassumptionsofmodel（2.1）arecorrectforthedata,theresiduals（plottedontheordinate）againsteither

or

（ontheabscissa）shouldberandomlydistributedabutthehorizontalaxis.

Example:

InthevehicleweightversusMPGexample,theresidualsandthestudentizedresidualsaregivenintheoutputofthefollowingSAScode:

PROCREGDATA=Cars;

MODELmpg=weight/R;

OUTPUTout=CarsoutP=PredMPGR=ResidualStudent=Stud_ResRstudent=Rstud_Res;

RUN;

goptionsreset=globalgunit=pctborder

ftext=swissbhtitle=6htext=3

hsize=8invsize=5incback=white;

/*graphinhsymbols,theirinterpolationsandcolors*/

symbol1v=circleh=3c=red;

symbol2v=squareh=4c=green;

symbol3v=diamondh=3c=red;

run;

titlecolor=blue'

Stud_res,Rstud_resandresidualv.s.wgt'

;

PROCGPLOT;

PLOTResidual*weight=2Stud_Res*weight=1Rstud_Res*weight=3/legendoverlayVref=0;

Stud_resv.s.PredMPG'

PLOTStud_Res*Predmpg=3/Vref=0;

OutputStatistics

DependentPredictedStdErrorStdErrorStudentCook'

s

ObsVariableValueMeanPredictResidualResidualResidual-2-1012D

118.300018.09290.16960.20710.3100.668||*|0.067

215.900016.30450.1381-0.40450.325-1.243|**||0.139

316.400016.50320.1259-0.10320.330-0.313|||0.007

417.500017.29810.11710.20190.3340.605||*|0.023

515.500015.50970.2067-0.0096770.287-0.0337|||0.000

618.800018.49030.20670.30970.2871.080||**|0.303

716.800016.50320.12590.29680.3300.899||*|0.059

816.500016.90060.1124-0.40060.335-1.195|**||0.080

916.500016.10580.15290.39420.3191.237||**|0.176

1017.800018.29160.1876-0.49160.300-1.641|***||0.528

SumofResiduals0

SumofSquaredResiduals0.99961

PredictedResidualSS（PRESS）1.60514

NonlinearityoftheRegressionFunction

Iftheplotoftheresiduals（orthestudentizedresiduals）againstthepredictorvariable（orthepredictedresponsevariable,

）isnotrandomlydistributedaboutthehorizontalaxis,itcouldbeanindicationthattheregressionfunctionisnonlinear.Nonlinearityoftheregressionfunctioncanalsobeascertainedfromthescatterplot,butthescatterplotisnotalwaysaseffectiveasaresidualplot.SeeFigure3.3onpage105.AlsoseeFigure3.4（b）onpage106.

The（studentized）residualplotsinourvehicleweightvsMPGexampleshowamoreorlessrandomdispersionaboutthehorizontalaxis.Thusthelinearmodelinthisinstanceappearstobeadequate.Thisconclusionissupportedbytherelativelysmallrootmeansquareof0.35348andrelativelyhigh

NonconstancyofErrorVariance

Aplotoftheresiduals（orthestudentizedresiduals）againstthepredictorvariable

orthepredictedresponsevariable

arealsousefulinaccessingwhetherofnottheerrorvarianceisconstantasassumedinthemodel.Ifthemagnitudeoftheresidualstendstoincreaseor（lesslikely）todecreaseas

increases,thisisindicativeofasituationinwhichtheerrorvarianceischangingasthevalueoftheindependentvariable

changes.Since

islinearlyrelatedtopredictorvariable

asimilarstatementcanbemaderegardingaplotoftheresiduals（orstudentizedresiduals）against

.Systematicchangesinthemagnitudeoftheresidualsviolatetheassumptionthattheerrorshaveconstantvariance.A“wedgeshaped”residualplotasinFigure3.4（c）,page106,wouldtypifythissituation.Alesslikely,butpossiblesituationisiftheerrorvarianceisdecreasingas

isincreases.Thissituationwouldresultina“reversedwedge”plot.

thestudentizedresidualplotsintheweight-MPGexampledonotexhibitanywedge-shapedpattern,whichindicatesthatthevarianceismoreorlessconstant.However,theresidualplotinFigure3.5,page107,showsatendencyforthevariabilityoftheresidualstoincreasewith

Outliers

Outliersareextremeobservations.Theycanbeidentifiedbyresidualplotsagainsteither

or

.Studentizedplotsareparticularlyhelpfulinthiscontext.Aroughruleofthumb（whennislarge）istoconsideranobservation

whosestudentizedresidual

tobeanoutlier.Actuallythisruleisratherconservative.Amoreaggressiveruleistodeclareobservation

tobeanoutlierif

andsomestatisticsrecommendedusing2.5.MorerefinedproceduresforidentifyingoutlierswillbediscussedinChapter10.

Thebigquestionis“Shouldoutliers,onceidentified,bediscarded?

”Itisalwaystemptingtodiscardoutlierssincetheytendtodestroytheleastsquarefit,particularlyinsmalltomoderatesamples.So,theresidualplotsmayimproperlysuggestalackoffitofthelinearregressionmodel,inadditiontoflaggingtheoutlier.Figure3.7,page109,clearlyillustratesthissituation.

However,inmoststatisticians’opinions,outliershouldbediscardedifandonlyif

1.Theobservationcausingtheoutlierinvolvesandatainputerror,or

2.Theobservationcausingtheoutlierinvolvesanextraneouscase.

Byanextraneouscasewemeanthattheoutlyingobservationwascollectedunderconditionssubstantiallydifferentfromthatoftheotherobservations.Unfortunately,thestatisticianmaynotalwaysbeabletoascertainwhetherornotsituation1and/or2pertain.

Theautomaticdiscardingofoutlierscanresultinoverfittingthelinearmodeltotheremainingdatapoints.Furthermore,outliersmayconveysignificantinformation,suchaswhentheoutlieristheresultofinteractionofsomeotherpredictorvariable,whichisnotincludedinthemodel.

Figure3.6,page108,showsaresidualplotwithanoutlier.Therearenooutliersinourvehicledata.Refertotheresidualandstudentizedresidualplots.

Nonindependenceoftheerrorterms

Althoughtheactualerrortermsareassumedtobe