REGRESSION A (1 -  )100% confidence 13.

Variance Inflation factor

interval for E(Y X ) : 1
1. Prediction Equation VIF(X j ) 
 1  R 2j
 1 ( X i  X )2
yˆ i  ˆ0  ˆ1 xi Yi  t / 2 S e 
R 2j is the coefficient of
n SS X
2. Sample Slope 
determination for the
Here Y is the E(Y X).
ˆ1 
SS xy

 x  x  y  y 
i i
regressionof X j as
 x  x 
2 10. Prediction interval
SS xx i
dependent variable
2
SSx= ∑ x - (∑ x) /n 2 for a randomly
chosen value of Y If VIF >10, it is co
SSxy= ∑ xy- ∑ x*∑ y/n given x linearity

3. Sample Y Intercept A (1 -  )100% prediction 14. Tolerance Factor: 1-Rj2

interval for Y is : 14. Beta Weights
ˆ0  y  ˆ1 x Sx
4. Coeff. Of Determination  1 (Xi  X )

2 Beta   i 
Yi  t / s S e 1   Sy
n SS x
R2 
SSR
 1
SSE Sx  Std dev of X
SST SST where Xs are observed values Sy  Std dev of Y
5. Std. Error of Estimate of independent variable .
 15. Partial F Test
   2
Y is the estimate of Y, n is ( SSER  SSEF ) / r
Y   Y

i
the sample size and Se is the
Fr ,n ( k 1) 
MSEF
Se 
n  k 1 standard error of Y SSER - sum of squares of
Se 
 Yi 2   0  Yi  1  X i Yi
error of reduced model
11. Coeff. of Correlation
n  k 1 SSEF - sum of squares of
6. Standard Error of  0 and SS XY error of full model
r  ( signb1) R 2 
1 SS XX SSYY r – no. of variables
dropped from full model.
S (0 ) 
Se  x 2

Forward Regression Or,

nSSxx Fr,n-k-1 = (R2R+1-R2R)/[(1-
Fdefaultin > 3.84
Se R2R+1)/n-k-1]
Pin < 0.05
S ( 1 )  Where, R2R+1 = R2 + r2
SSxx Backward Regression
Fout < 2.71
Pout > 0.10 16. Outliers
7. Test Statistic
Estimate  Parameter 12. Adjusted R2 Measure Potential Outliers
t( n  2) 
Est. std. error of estimate
 SSE /(n  k  1)

1  1 RA2  1  Standardized > 3 (3 sigma level)
 SST /(n  1)
S8.e ( 1Confidence
) Interval
residual,
n 1 Studentized
of

  0SS
and 1 RA2  1  (1  R 2 )  residual
t( n  2)  1 x n  (k  1)
Se
R 2A  The adjusted coefficient
1  t( / 2,n2)  Se (1 )
of determination
 0  t ( / 2 , n  2 )  S e (  0 )
R 2  Unadjuste d coefficient
9. Confidence interval
of determination
for mean value of Y
given x n  number of observations
k  no. of explanatory variable s
Mahalanobis > Critical chi-square value
distance with df = number of
explanatory variables
(Outliers in independent
variable)
Cook’s distance > 1 implies potential outlier
Leverage > 2(k+1)/n, then the point
values is influential (k is the
number of independent
variables and n is the
sample size)
(i ) Lt    Yt  PARTIAL CORRELATION
Correlation between y1 and x2,
(1   )  ( Lt 1  Tt 1 )
when the influence of x3 is
(ii) Tt    ( Lt  Lt 1 ) removed from both y1 and x2.
 (1   )  Tt 1
r12  r13r23
 r12,3 
(iii) Ft 1  Lt  Tt (1  r132 )(1  r232 )

(iv) F t  m  Lt  mTt r212 = (R2 – R21/2)/(1-R21/2)
3. Theil’s Coeff Semi-partial (or part) correlation
sr12,3 is the correlation between y1
n

 Y  F  and x2 when influence of x3 is

SDFBeta > 2/n 2
t t
t 1 partialled out of x2 (not on y1).
SDFFit
U1  ,
 2 (k  1) n n n
r12  r13r23
Y t
2
 F t
2
sr12,3 
17. Mahalanobis
t 1 t 1
1  r232
2
Distance  Ft 1  Yt 1 
n -1

Mi = [(Xi – X)/ Sx]2 

t 1 
 
Or, S2rk = R2-R2Y/K
U2 
Yt 
Outlier if value >10 2 Square of part correlation =
n -1
 Yt 1  Yt 
18. Cook’s Distance t 1 

Yt 
 unique contribution of the
explanatory variable to R2
Di = ∑j (Yj – Yj(i))2/k x MSE
(coefficient of multiple
23.P.I. for multiple
19. Durbin Watson Test *determination). determination).
regression (Note: the second
Sr12 = R2Y12 - r2Y2
Durbin Watson value close to one is actually C.I.):
r2Y2 – zero order correlation
2 implies no auto-correlation Sr12 = semi partial correlation
U1 is bounded between 0
and 1, with values closer to Upward and downward BIAS:
Durbin Watson value close to
0 implies positive auto- zero indicating greater
correlation accuracy.

Durbin Watson value close to If U2 = 1, there is no

4 implies negative auto- difference between naïve
correlation forecast and the forecasting
technique
20. Relationship
between F and R2 If U2 < 1, the technique is UP – Bias: Coefficient of X
better than naïve forecast increases in the absence of OV
F = (R2/1- R2) x DOWN – Bias: Coefficient of X
((n-(k+1))/k) If U2 > 1, the technique is no
decreases in the absence of OV
better than the naïve
22. Standarised x =( xi- forecast.
xbar)/σx
A (1 - ) 100% prediction interval for a value of Y given values of X :
i
FORECASTING
yˆ  t  s ( yˆ )  MSE
2
1. Exponential ( ,(n(k 1)))
2
Smoothing
Lt   * Yt 1  (1   ) * Lt 1 A (1 - α) 100% prediction interval for the conditional mean of Y given
Ft  Lt values of X :
i
2. Double Exponential
yˆ  t  s[Eˆ (Y )]
Smoothing ( ,(n(k 1)))
2