Linear regression

Copyright © 2012 Pearson Canada Inc., Toronto, Ontario
Chapter 8
Linear Regression

Slide 8- 3
Fat versus Protein: An Example
 The following is a scatterplot of total fat versus
protein for 30 items on the Burger King menu:

Slide 8- 4
The Linear Model
 Correlation says “There seems to be a linear
association between these two variables,” but it
doesn’t tell what that association is.
 We can say more about the linear relationship
between two quantitative variables with a model.
 A model simplifies reality to help us understand
underlying patterns and relationships.

Slide 8- 5
The Linear Model (cont.)
 The linear model is just an equation of a straight
line through the data.
 The points in the scatterplot don’t all line up,
but a straight line can summarize the general
pattern.
 The linear model can help us understand how
the values are associated.

Slide 8- 6
Residuals
 The model won’t be perfect, regardless of the line
we draw.
 Some points will be above the line and some will
be below.
 The estimate made from a model is the predicted
value (denoted as ).ˆy

Slide 8- 7
Residuals (cont.)
 The difference between the observed value and
its associated predicted value is called the
residual.
 To find the residuals, we always subtract the
predicted value from the observed one:
ˆresidual observed predicted y y= − = −

Slide 8- 8
Residuals (cont.)
 A negative residual means
the predicted value’s too
big (an overestimate).
 A positive residual means
the predicted value’s too
small (an underestimate).

Slide 8- 9
“Best Fit” Means Least Squares
 Some residuals are positive, others are negative,
and, on average, they cancel each other out.
 So, we can’t assess how well the line fits by
adding up all the residuals.
 Similar to what we did with deviations, we square
the residuals and add the squares.
 The smaller the sum, the better the fit.
 The line of best fit is the line for which the sum of
the squared residuals is smallest.

Slide 8- 10
The Least Squares Line
 We write our model as
 This model says that our predictions from our
model follow a straight line.
 If the model is a good one, the data values will
scatter closely around it.
0 1
ˆy b b x= +

Slide 8- 11
The Least Squares Line (cont.)
 In our model, we have a slope (b1):
 The slope is built from the correlation and the
standard deviations:
 Our slope is always in units of y per unit of x.
1
y
x
s
b r
s
=

Slide 8- 12
 In our model, we also have an intercept (b0).
 The intercept is built from the means and the
slope:
 Our intercept is always in units of y.
0 1b y b x= −

Slide 8- 13
Fat versus Protein: An Example
 The regression line for the
Burger King data fits the
data well:
 The equation is
 The predicted fat
content for a BK Broiler
chicken sandwich is
6.8 + 0.97(30) = 35.9
grams of fat.

Slide 8- 14
 Since regression and correlation are closely
related, we need to check the same conditions for
regressions as we did for correlations:
 Quantitative Variables Condition
 Straight Enough Condition
 Outlier Condition

Slide 8- 15
Correlation and the Line
 Moving one standard deviation away from the
mean in x moves us r standard deviations away
from the mean in y.
 This relationship is
shown in a scatterplot
of z-scores for
fat and protein:

Slide 8- 16
Correlation and the Line (cont.)
 Put generally, moving any number of standard
deviations away from the mean in x moves us r
times that number of standard deviations away
from the mean in y.

Slide 8- 17
How Big Can Predicted Values Get?
 r cannot be bigger than 1 (in absolute value),
so each predicted y tends to be closer to its mean
(in standard deviations) than its corresponding
x was.
 This property of the linear model is called
regression to the mean; the line is called the
regression line.

Slide 8- 18
Residuals Revisited
 The linear model assumes that the relationship
between the two variables is a perfect straight
line. The residuals are the part of the data that
hasn’t been modeled.
Data = Model + Residual
or (equivalently)
Residual = Data – Model
Or, in symbols,
ˆe y y= −

Slide 8- 19
Residuals Revisited (cont.)
 Residuals help us to see whether the model
makes sense.
 When a regression model is appropriate, nothing
interesting should be left behind.
 After we fit a regression model, we usually plot
the residuals in the hope of finding…nothing.

Slide 8- 20
Residuals Revisited (cont.)
 The residuals for the BK menu regression look
appropriately boring:

Slide 8- 21
R2
—The Variation Accounted For
 The variation in the residuals is the key to
assessing how well the model fits.
 In the BK menu items
example, total fat has
a standard deviation
of 16.4 grams. The
standard deviation
of the residuals
is 9.2 grams.

Slide 8- 22
R2
—The Variation Accounted For (cont.)
 If the correlation were 1.0 and the model
predicted the fat values perfectly, the residuals
would all be zero and have no variation.
 As it is, the correlation is 0.83—not perfection.
 However, we did see that the model residuals
had less variation than total fat alone.
 We can determine how much of the variation is
accounted for by the model and how much is left
in the residuals.

Slide 8- 23
R2
 The squared correlation, r2
, gives the fraction of
the data’s variance accounted for by the model.
 Thus, 1– r2
is the fraction of the original variance
left in the residuals.
 For the BK model, r2
= 0.832
= 0.69, so 31% of the
variability in total fat has been left in the
residuals.

Slide 8- 24
R2
 All regression analyses include this statistic,
although by tradition, it is written R2
(pronounced
“R-squared”). An R2
of 0 means that none of the
variance in the data is in the model; all of it is still
in the residuals.
 When interpreting a regression model you need
to Tell what R2
means.
 In the BK example, 69% of the variation in total
fat is accounted for by the model.

Slide 8- 25
How Big Should R2
Be?
 R2
is always between 0% and 100%. What makes
a “good” R2
value depends on the kind of data
you are analyzing and on what you want to do
with it.
 The standard deviation of the residuals can give
us more information about the usefulness of the
regression by telling us how much scatter there is
around the line.

Slide 8- 26
 Along with the slope and intercept for a
regression, you should always report R2
so that
readers can judge for themselves how successful
the regression is at fitting the data.
 Statistics is about variation, and R2
measures the
success of the regression model in terms of the
fraction of the variation of y accounted for by the
regression.
How Big Should R2
Be (cont)?

Slide 8- 27
Regression Assumptions and Conditions
 Quantitative Variables Condition:
 Regression can only be done on two
quantitative variables, so make sure to check
this condition.
 Straight Enough Condition:
 The linear model assumes that the relationship
between the variables is linear.
 A scatterplot will let you check that the
assumption is reasonable.

Slide 8- 28
Regressions Assumptions and Conditions (cont.)
 It’s a good idea to check linearity again after
computing the regression when we can examine
the residuals.
 You should also check for outliers, which could
change the regression.
 If the data seem to clump or cluster in the
scatterplot, that could be a sign of trouble worth
looking into further.

Slide 8- 29
 If the scatterplot is not straight enough, stop here.
 You can’t use a linear model for any two
variables, even if they are related.
 They must have a linear association or the
model won’t mean a thing.
 Some nonlinear relationships can be saved by re-
expressing the data to make the scatterplot more
linear.

Slide 8- 30
 Outlier Condition:
 Watch out for outliers.
 Outlying points can dramatically change a
regression model.
 Outliers can even change the sign of the slope,
misleading us about the underlying relationship
between the variables.

Slide 8- 31
Reality Check:
Is the Regression Reasonable?
 Statistics don’t come out of nowhere. They are based on
data.
 The results of a statistical analysis should reinforce
your common sense, not fly in its face.
 If the results are surprising, then either you’ve learned
something new about the world or your analysis is
wrong.
 When you perform a regression, think about the
coefficients and ask yourself whether they make sense.

Slide 8- 32
What Can Go Wrong?
 Don’t fit a straight line to a nonlinear relationship.
 Beware extraordinary points (y-values that stand off from
the linear pattern or extreme x-values).
 Don’t extrapolate beyond the data—the linear model may
no longer hold outside of the range of the data.
 Don’t infer that x causes y just because there is a good
linear model for their relationship—association is not
causation.
 Don’t choose a model based on R2
alone.

Slide 8- 33
What Have We Learned?
 When the relationship between two quantitative
variables is fairly straight, a linear model can help
summarize that relationship.
 The regression line doesn’t pass through all
the points, but it is the best compromise in the
sense that it has the smallest sum of squared
residuals.

Slide 8- 34
What Have We Learned? (cont.)
 The correlation tells us several things about the
regression:
 The slope of the line is based on the correlation,
adjusted for the units of x and y.
 For each SD in x that we are away from the x mean,
we expect to be r SDs in y away from the y mean.
 Since r is always between -1 and +1, each predicted y
is fewer SDs away from its mean than the
corresponding x was (regression to the mean).
 R2
gives us the fraction of the response accounted for
by the regression model.

Slide 8- 35
 The residuals also reveal how well the model
works.
 If a plot of the residuals against predicted
values shows a pattern, we should re-examine
the data to see why.
 The standard deviation of the residuals
quantifies the amount of scatter around the
line.

Slide 8- 36
 The linear model makes no sense unless the Linear
Relationship Assumption is satisfied.
 Also, we need to check the Straight Enough
Condition and Outlier Condition with a scatterplot.
 For the standard deviation of the residuals, we must
make the Equal Variance Assumption. We check it
by looking at both the original scatterplot and the
residual plot for Does the Plot Thicken? Condition.

Linear regression

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