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Classical regression review

Classical regression review. Important equations Functional form of the regression Regression coefficients Standard error Coefficient of determination Variance of coefficients Variance of regression Variance of prediction . Practice example. Example problem. % Data

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Classical regression review

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  1. Classical regression review • Important equations • Functional form of the regression • Regression coefficients • Standard error • Coefficient of determination • Variance of coefficients • Variance of regression • Variance of prediction

  2. Practice example • Example problem % Data y=[0.95, 1.08, 1.28, 1.23, 1.42, 1.45]'; x=[0 0.2 0.4 0.6 0.8 1.0]'; be = [0.9871 0.4957] se = 0.0627 R = 0.9162 sebe = [0.0454 0.0750] corr= -0.8257 Conf. interval = red line Pred. interval = magenta line

  3. Bayesian analysis of classical regression • Remark • Classical regression is turned into the Bayesian: unknown coefficients b are estimated conditional on the observed data set (x,y). • If non-informative prior for b, solution is the same as the classical one.If there exist certain priors, however, there is no closed form solution. • Like we did before, we can practice Bayesian and validate results using the classical solution, in case of non-informative prior. • Statistical definition of the data • Assuming normal distribution of the data with the mean at regression equation, the data distribution is expressed as • Parameters to be estimated • Regression coefficients b=[b1,b2] ( something like m) and variance s2.

  4. Joint posterior pdf of b, s2 • Non-informative prior • Likelihood to observe the data y • Joint posterior pdf of b=[b1,b2], s2(this is 3 parameters problem) • Compare with posterior pdf of normal distribution parameters m,s2

  5. Joint posterior pdf of b, s2 • Analytical procedure • Factorization • Marginal pdf of s2 • Conditional pdf of b • Posterior predictive distribution • Sampling method based on factorization approach • Draw random s2 from inverse- c2 distribution. • Draw random b from conditional pdfb|s2. • Draw predictive ỹ at a new point using the expression ỹ|y.

  6. Practice example • Joint posterior pdf of b, s2 • Data • This is function of 3 parameters.In order to draw the shape of the pdf, let’s assume s = 0.06.Max location of be = [b1 b2] is near [1 0.5] which agrees with true values. where X=[ones(n,1) x]; y=[0.95, 1.08, 1.28, 1.23, 1.42, 1.45]'; x=[0 0.2 0.4 0.6 0.8 1.0]';

  7. Practice example • Sampling by MCMC • Using N=1e4, starting from b=[0;0] and s=1, as we iterate MCMC, we get convergence of b and s. At the initial stage, however, samples should be discarded. This is called Burn-in. • The max likelihood of b is found near [1;0.5], and of s near 0.06, which agree with the true values.

  8. Practice example • Sampling by MCMC • Using N=1e4, MCMC is repeated ten times.The variances of the results are favorably small, which shows that the distribution can be accepted as the solution. * * * * * * * * * * * * * * *

  9. Practice example • Sampling by MCMC • Different value of w for proposal pdf leads to convergence failure.

  10. Practice example • Sampling by MCMC • Different starting point of b may be suggested to check convergence and whether we get the same result.

  11. Practice example • Posterior analysis • Posterior distribution of regression: using samples of B1 & B2, samples of ym are generated, where ym = B1+B2*x. • Blue curve is the mean of ym. • Red curves are the confidence bounds of ym. (2.5%, 97.5% of the samples.) • Posterior predictive distribution: using samples of ym and S, samples of predicted y are generated, i.e., yp ~ N(ym,s2).

  12. Confidence vsprediction interval • Classical regression • Confidence interval comes from variance of regression • Prediction interval comes from variance of prediction • Bayesian approach of regression • Confidence interval comes from Posterior distribution of regression. • Predictive interval comes from Posterior predictive distribution. • Bayesian approach of normal distribution • Confidence interval comes fromt-distribution with n-1 dof wheremean ȳ and variance s2/n. • Predictive interval comes from t-distribution with n-1 dof wheremean ȳ and variance s2/n + s2.

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