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1 1 Chapter 5: Multiple Regression 5.1 Fitting a Multiple Regression Model 5.2 Fitting a Multiple Regression Model with Interactions 5.3 Generating and Comparing Candidate Models

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2 2 Chapter 5: Multiple Regression 5.1 Fitting a Multiple Regression Model 5.2 Fitting a Multiple Regression Model with Interactions 5.3 Generating and Comparing Candidate Models

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3 Objectives Understand the principles of multiple linear regression. Recognize the main advantage of multiple regression versus simple linear regression. Fit a multiple regression model with the Fit Model platform. 3

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4 Multiple Linear Regression Model In general, the dependent variable Y is modeled as a linear function of k independent variables (the Xs): Y = 0 + 1 X 1 + … + k X k + Consider the model where k = 2: Y = 0 + 1 X 1 + 2 X 2 + 4

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5 Picturing the Model: No Relationship 5

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6 Picturing the Model: A Relationship 6

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7 Model Hypothesis Test Null Hypothesis: The regression model does not fit the data better than the baseline model. H 0 : 1 = 2 = … = k = 0 Alternative Hypothesis: The regression model does fit the data better than the baseline model. H 1 : Not all s equal zero. 7

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Multiple Choice Poll Which statistic in the ANOVA table tests the overall hypothesis? a. F b. t c. R 2 d. Adjusted R 2 8

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Multiple Choice Poll – Correct Answer Which statistic in the ANOVA table tests the overall hypothesis? a. F b. t c. R 2 d. Adjusted R 2 9

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10 Assumptions for Linear Regression The variables are related linearly. The errors are normally distributed with a mean of zero. The errors have a constant variance. The errors are independent. 10

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11 Multiple Linear Regression versus Simple Linear Regression Main Advantage Multiple linear regression enables an investigation of the relationship between Y and several independent variables simultaneously. Main Disadvantages Increased complexity makes it more difficult to ascertain which model is best interpret the models. 11

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12 Common Applications Multiple linear regression is a powerful tool for Prediction – to develop a model to predict future values of a response variable (Y) based on its relationships with other predictor variables (Xs) Analytical or Explanatory Analysis – to develop an understanding of the relationships between the response variable and predictor variables. 12

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13 Prediction Sometimes the terms in the model, the values of their coefficients, and their statistical significance are of secondary importance. The focus is on producing a model that is the best at predicting future values of Y as a function of the Xs. The predicted value of Y is given by 13 Y = β 0 + β 1 X 1 + … + β k X k

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14 Analytical or Explanatory Analysis Sometimes the focus is on understanding the relationship between the dependent variable and the independent variables. Consequently, the statistical significance of the coefficients is important, as well as the magnitudes and signs of the coefficients. 14 …… ………

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15 Fitness Example Simple Linear Regressions: Multiple Regression: 15 TermEstimatep-value Age Weight Runtime-3.31< Run Pulse Rest Pulse Maximum Pulse ?

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16 This demonstration illustrates the concepts discussed previously. Fitting a Multiple Regression Model

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18 Chapter 5: Multiple Regression 5.1 Fitting a Multiple Regression Model 5.2 Fitting a Multiple Regression Model with Interactions 5.3 Generating and Comparing Candidate Models

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19 Objectives Add interactions to a multiple regression model. Fit a multiple regression model with interactions. 19

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20 Interactions An interaction exists if the effect of one variable on the response depends on the level of another variable. 20

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21 Stability Example A chemist is assessing the impact of acid concentration (A), catalyst concentration (C), temperature (T), and monomer concentration (M) on polymer stability. She is concerned that there might be two-factor interactions between some of the variables. Here is the full model: S = β 0 + β 1 A + β 2 C + β 3 T + β 4 M + β 5 A*C + β 6 A*T + β 7 A*M + β 8 C*T + β 9 C*M + β 10 T*M + ε 21

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22 This demonstration illustrates the concepts discussed previously. Fitting a Multiple Regression Model with Interactions

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Multiple Choice Poll The interaction term x1*x2 has a p-value of The p-value for x1 is 0.25 and the p-value for x2 is With a predetermined alpha of 0.05, what parameters should be included in the model? a.x1*x2 b.x1, x1*x2 c.x1, x2, x1*x2 d.Cannot conclude based on the provided information. 23

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Multiple Choice Poll – Correct Answer The interaction term x1*x2 has a p-value of The p-value for x1 is 0.25 and the p-value for x2 is With a predetermined alpha of 0.05, what parameters should be included in the model? a.x1*x2 b.x1, x1*x2 c.x1, x2, x1*x2 d.Cannot conclude based on the provided information. 24

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26 Chapter 5: Multiple Regression 5.1 Fitting a Multiple Regression Model 5.2 Fitting a Multiple Regression Model with Interactions 5.3 Generating and Comparing Candidate Models

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27 Objectives Identify candidate models. Compute various statistics to evaluate candidate models. 27

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28 Model Selection Eliminating one variable at a time manually for a small number of predictor variables is a reasonable approach numerous predictor variables can take a lot of time. 28

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29 Generating Candidate Models with Stepwise Regression 29 Forward Selection Backward Selection Mixed Selection

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30 Model Comparison Statistics JMP software provides several metrics to compare competing regression models including the following: Root Mean Square Error (RMSE) smaller is better Adjusted R 2 bigger is better Mallows’ C p look for models with C p p, where p equals the number of parameters in the model, including the intercept Akaike’s Information Criterion, corrected (AIC c ) smaller is better Schwartz’s Bayesian Information Criterion (BIC) smaller is better 30

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31 This demonstration illustrates the concepts discussed previously. Generating and Comparing Candidate Models

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32 Model Comparison Statistics Summary STATISTIC BACKWARD 5-PREDICTOR MODEL FORWARD 6-PREDICTOR MODEL RMSE Adjusted R AIC c BIC

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34 This exercise reinforces the concepts discussed previously. Exercise

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Quiz In the stepwise regression shown, why are some variables included when their p-value is greater than 0.05? 35

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Quiz – Correct Answer In the stepwise regression shown, why are some variables included when their p-value is greater than 0.05? This model selection is based on Minimum BIC. The model with the lowest BIC value includes Age and MaxPulse. 36

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