Template:Normal distribution rank regression on Y: Difference between revisions

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===Rank Regression on Y===
#REDIRECT [[The Normal Distribution]]
 
Performing rank regression on Y requires that a straight line be fitted to a set of data points such that the sum of the squares of the vertical deviations from the points to the line is minimized.
 
The least squares parameter estimation method (regression analysis) was discussed in Chapter [[Parameter Estimation|Parameter Estimation]] and the following equations for regression on Y were derived:
 
::<math>\begin{align}\hat{a}= & \bar{b}-\hat{b}\bar{x}  \\
                    =& \frac{\sum_{i=1}^N y_{i}}{N}-\hat{b}\frac{\sum_{i=1}^{N}x_{i}}{N}\\
    \end{align}
  </math>
 
and:
 
::<math>\hat{b}=\frac{\underset{i=1}{\overset{N}{\mathop{\sum }}}\,{{x}_{i}}{{y}_{i}}-\tfrac{\underset{i=1}{\overset{N}{\mathop{\sum }}}\,{{x}_{i}}\underset{i=1}{\overset{N}{\mathop{\sum }}}\,{{y}_{i}}}{N}}{\underset{i=1}{\overset{N}{\mathop{\sum }}}\,x_{i}^{2}-\tfrac{{{\left( \underset{i=1}{\overset{N}{\mathop{\sum }}}\,{{x}_{i}} \right)}^{2}}}{N}}</math>
 
In the case of the normal distribution, the equations for  <math>{{y}_{i}}</math>  and  <math>{{x}_{i}}</math>  are:
 
::<math>{{y}_{i}}={{\Phi }^{-1}}\left[ F({{t}_{i}}) \right]</math>
 
and:
 
::<math>{{x}_{i}}={{t}_{i}}</math>
 
 
where the values for  <math>F({{T}_{i}})</math>  are estimated from the median ranks. Once  <math>\widehat{a}</math>  and  <math>\widehat{b}</math>  are obtained,  <math>\widehat{\sigma }</math>  and  <math>\widehat{\mu }</math>  can easily be obtained from Eqns. (an) and (bn).
 
'''The Correlation Coefficient'''
 
The estimator of the sample correlation coefficient,  <math>\hat{\rho }</math> , is given by:
 
::<math>\hat{\rho }=\frac{\underset{i=1}{\overset{N}{\mathop{\sum }}}\,({{x}_{i}}-\overline{x})({{y}_{i}}-\overline{y})}{\sqrt{\underset{i=1}{\overset{N}{\mathop{\sum }}}\,{{({{x}_{i}}-\overline{x})}^{2}}\cdot \underset{i=1}{\overset{N}{\mathop{\sum }}}\,{{({{y}_{i}}-\overline{y})}^{2}}}}</math>
 
'''Example 2:'''
{{Example: Normal Distribution RRY}}

Latest revision as of 10:05, 9 August 2012

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