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About: Linear Regression

Module by: Paul E Pfeiffer. E-mail the author

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Name: Linear Regression
ID: m23468
Language: English (en)
Summary: Consider a pair {X,Y} with a joint distribution. A value X(ω) is observed. It is desired to estimate the corresponding value Y(ω). The best that can be hoped for is some estimate based on an average of the errors, or on the average of some function of the errors. The most common measure of error is the mean (expectation) of the square of the error. This has two important properties: it treats positive and negative errors alike, and it weights large errors more heavily than smaller ones. In general, we seek a rule (function) r such that the estimate is r(X(ω)). That is, we seek a function r such that the expectation of the square of Y - r(X) is a minimum. The problem of determining such a function is known as the regression problem. LINEAR REGRESSION: we seek the best straight line function (the regression line of Y on X) of the form u = r(t) + b, such that the mean square of Y - r(X) is a minimum. Matlab approximation procedures are compared with analytic results. More general linear regression is considered
Subject: Mathematics and Statistics
Keywords: Correlation coefficient, Estimates, Mean square error, Regression line
License: Creative Commons Attribution License CC-BY 3.0

Authors: Paul E Pfeiffer (perhp@earthlink.net)
Copyright Holders: Paul E Pfeiffer (perhp@earthlink.net)
Maintainers: Paul E Pfeiffer (perhp@earthlink.net), Daniel Williamson (dcwill@cnx.org), C. Sidney Burrus (csb@rice.edu)

Latest version: 1.6 (history)
First publication date: Apr 17, 2009 12:32 pm -0500
Last revision to module: Sep 18, 2009 1:15 pm -0500

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Version History

Version: 1.6 Sep 18, 2009 1:15 pm -0500 by Daniel Williamson
Changes:
added google analytics tracking code

Version: 1.5 Jul 27, 2009 12:06 pm -0500 by Daniel Williamson
Changes:
disjoint union fix

Version: 1.4 Jun 19, 2009 11:12 am -0500 by Daniel Williamson
Changes:
m-file fixes, supplemental links, metadata updated

Version: 1.3 Jun 9, 2009 5:16 pm -0500 by Daniel Williamson
Changes:
updated links, images and accessibility

Version: 1.2 May 26, 2009 4:35 pm -0500 by Daniel Williamson
Changes:
fixed module names, and updated content structure

Version: 1.1 May 19, 2009 10:26 am -0500 by Paul E Pfeiffer
Changes:
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