EXTRA CREDIT PROBLEMS BANA 7042 2015

Each problem has a posted point value if solved completely correctly. Partial credit may be awarded.
They are to be turned in on or before Feb. 26, 2015. These problems are completely optional. You will
find the use of the material on matrix methods that we covered in BANA 7041very helpful for some of
them. If you took the Probability course BANA 7031, you should be able to attempt problem 5.

The first two problems that I am assigning for you are from the text book.
Please treat the format of these as you would any of the other
assignments, including the inclusion of the computer code. Both problems
are relatively easy if you follow the pattern contained in the work I showed
you from Chapter 14 in my SAS examples. The other problems are not
from the textbook. Some are deceptively easy if you follow my hints.
1. 14.39. To coordinate the notation and the use of SAS, please begin your
work with a request for a general linear (PROC GENMOD) analysis using a
Poisson distribution and a log link function. Label the variables X1, X2,
and X2. (Worth 4 points)
2. 14.59. To coordinate the notation for this ordinal logistic case, please use
the CLOGIT option as shown in the revised SAS code from my SAS
example for Chapter 14. Note that in part b), there is a typographical
error. The word nominal should be ordinal. To get the answers in the
text for the separate logistic regressions in part d), I found that I had to
experiment with which variables to do the modeling, and the use of the
descending option. You too should try to aim at getting the same
coefficient estimates as the answer book. Use X1, X2, X3, X4, X5, X6, and
X7 as the variable names. (Worth 4 points)
3. Properties of the hat matrix: Let X be an nxp design matrix in a regression problem. Assume
that the rank(X)=p<n. Recall that the hat matrix is H=X(X`X)-1X` = XX-. Show,
a. H is idempotent and symmetric
p

b.

h ii

c.

0 hii 1

i=1

(Worth 5 points)
4. In a regression model,

Y = 0 + 1 X 1+ 2 X 2 +

the added-variable plot of

Y X2
ei )

show that the slope and the intercept of

X 1 X 2
vs e i ) must be

1 and 0, respectively.

BIG HINT: I strongly suggest that it is actually much easier to show this is true for the
general linear regression model

Y = 0 + 1 X 1++ p1 X p1 + , i.e., show that the

slope and the intercept of the added-variable plot of

Y X2
ei )

X 1 X 2
vs e i ) must be

and 0, respectively in this more general case. Here, you should assume that in matrix terms,
the GLM model has been expressed as

Y = X+

where X is partitioned as

X =[ X 1 X 2] where

X 1 is a column vector of size nx1 (the vector corresponding the

first predictor variables),

X 2 is an nx(p-1) matrix containing all the other columns of the

matrix X including the vector of 1s corresponding to the intercept term, and the parameter
vector is partitioned as

X 1 and
model is

1
2

()

where

1 is a scalar slope corresponding to the vector

2 is the (p-1)x1 vector of remaining slopes (including the intercept). Then the
Y = X 1 1 + X 2 2 + . From the matrix stuff we learned in STAT METHODS, in

general, you can write the residual vector for the regression of Y on X as

I X X

.Therefore, you can get the desired residual vector for the regression of Y on X2 as

I X 2 X 2
and you can get the desired residual vector for the regression of X1 on X2 as

I X 2 X 2
Y = X 1 1 + X 2 2 +
. Now, what do you get when you multiply the model

I
X
2 X2
on both sides by
? (Worth 5 points)

5. In the construction of the half normal plot of the deviance residuals with simulated envelope
it was stated that by using 19 simulations, there is a chance of one in 20, or 5 percent, that
the largest ordered absolute residual from the original data set lies outside the simulated

envelope when the fitted model is correct (p.596). Give a plausible (possibly semi-rigorous)
argument of why this is true. By the same reasoning explain why you would need to run 99
simulations to change the claim to one in 100 chance. (Worth 2 points)