Sample questions

Simple linear regression

1. Given a simple linear regression model yi = β0 +β1 xi +εi , i=1,2. . . ,n.

With E (εi ) = 0, V (εi ) = σ 2 , and ε0i s uncorrelated

a) Show that for this model the coefficient of determination (R2 ) is

equivalent to the r2 (the square of the correlation coefficient)
b) Show that the residual vector (ei ) is correlated with the vector
of observed yi

Multiple linear regression

2. For a multiple linear regression model, Y = Xβ + ε, E (ε) = 0, and

V (ε) = σ 2 I

a) Given that the rank of X is such that p + 1 < n, where p, is the

number of predictors and n, the number of observations. Prove
0
that X X is positive definite
ei
b) Show that the deleted residual (e(i) ) can be expressed as
1 − hii
c) Use the maximum likelihood method to obtain the estimate of β
d) Derive the covariance matrix of β̂ and hence state its distribution
e) Show that HY = Ŷ , where H is the hat matrix

Application questions

1 a) A roket motor is manufactured by joining an igniter propellant and

a sustainer propellant together inside a metal housing. The Shear
strength of the bond between the two types of propellant is an important
characteristic. Looking at FIGURE 1 below, would you recommend
a simple linear regression model for shear strength(y) and propellant
age (x)?

b) Calculate the standard error for βˆ0 and βˆ1 using values stated in
TABLE 1 from an output of fitting a simple linear regression model
on the dataset described above and use it to calculate the confidence
intervals for the estimators at α = 0.05.

1
2

Scatter plot

2500

2250
Shear Strength

2000

1750

5 10 15 20 25
Propellant Age

Figure 1

c) What does the model suggest about the relationship between shear
strength and the age of the propellant.

d) State the model ŷ and find a 95% predictive interval on a future value
of x = 10 weeks.

2) The output of a linear regression model fitted on two predictor variable

is presented in TABLE 2. Note that the second predictor variable is
an indicator variable, such that, x2 = 0, x2 = 1 and therefore βˆ3 is
the coefficient of the interaction (x1 ∗ x2 ) . Using TABLE 2, state
 3

Table 1

Coefficients βˆ0 := 2627.822 βˆ1 :=-37.154

t value 59.48 -12.86
Residual standard error 96.11
Multiple R-squared 0.9018
Adjusted R-squared 0.8964
F-statistic 165.4
n 20
x̄ 13.3625
Sxx 1106.559

Table 2

Coefficients βˆ0 := 33.8383695 βˆ1 :=-0.1015306 βˆ2 :=8.131250 βˆ3 =-0.0004171

t value 13.864 −7.779 2.225 −0.023
Residual standard error 3.32
Multiple R-squared 0.8951
Adjusted R-squared 0.8754
F-statistic 45.49
n 20

the final model for each of the groups. Justify your answer at a 95%
confidence level.