Difference between revisions of "Nonlinear regression"

… the safe use of regression requires a good deal of thought and a good dose of skepticism

— Arnold Barnett

Review of linear regression

Linear Regression is a method for finding the magnitude of the relationship between two variables that co-vary. The technique assumes that a straight line characterizes the relationship between the two quantities: 𝑦=𝛽𝑥+𝛼, where 𝛽 is the true slope and 𝛼 is the true intercept. If two points on the line, (x_i, y_i); i = {1,2}, are precisely known, solving for the exact values of 𝛼 and 𝛽 is trivial. Unfortunately, all physical measurements include noise. The presence of noise precludes finding the exact values of 𝛼 and 𝛽.

The function of linear regression is to produce estimates of 𝛼 and 𝛽, denoted by α̂ and β̂, from a sample of N value pairs (x_i, y_i); i = {1, ..., N} that includes noise in the y-values. Thus, the samples can be modeled by adding a noise term, ε_ix, to the right side of the equation: y_i=Β_ix+α+ε_ix. The most common regression model assumes that x is known exactly. In practice, regression works well if the relative magnitude of noise in x is much smaller than y.

The most common type of LR minimizes the value of the squared vertical distances between observed and predicted values Model : Assumptions: the independent variable 𝑥 is known with certainty (or at least very much less error than 𝑦) 𝜀 is an independent, random variable with 𝜇=0 The distribution of 𝜀 is symmetric around the origin the likelihood of large errors is less than small ones Uncertainty in slope estimate The error in slope 𝑊=𝛽 ̂−𝛽 Variance of 𝑊 characterizes slope error You can calculate a 95% (or other significance level) confidence interval for 𝛽 ̂ What factors should the uncertainty depend on? Estimate 𝜎^2 (𝑊): 𝑉^2 (𝑊)=(∑▒〖𝑟_𝑖^ 〗^2 )/((𝑁−2)∑▒〖(𝑥_𝑖−𝑥 ̅)〗^2 ) N-2 is a “penalty” because regression line minimizes variance of residuals If the interval contains 0, the null hypothesis that 𝛽=0 cannot be rejected

Step 1: PLOT THE DATA

Examine the residuals

• plot 'em for an informal look
• various tests of residuals exist

Overview of nonlinear regression

Block diagram of nonlinear regression

Practical nonlinear regression