Nonlinear regression
β¦ the safe use of regression requires a good deal of thought and a good dose of skepticism
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: π¦=π½π₯+πΌ, where π½ is the true slope and πΌ is the true intercept. Some examples of physical systems that are modeled well by lines include resistors (V=IR) and springs (F=kx).
A simple way to find α and β is to measure the y at two different values of x, giving the datapoints (xi, yi); i = {1,2}. If the two points are precisely known, solving for the exact values of πΌ and π½ is trivial. Unfortunately, all physical measurements include noise. The presence of noise precludes finding the exact values of πΌ and π½.
Measurement noise can be modeled by adding a noise term, εi, to the right side of the model equation: yi=Βix+α+εix. The function of linear regression is to produce estimates of πΌ and π½, denoted by α̂ and β̂, from a sample of N value pairs (xi, yi); i = {1, ..., N} that includes noise in the y-values. 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 π₯ is known with certainty (or at least very much less error than π¦)
π is an independent, random variable with π=0
The distribution of π is symmetric around the origin
the likelihood of large errors is less than small ones
Uncertainty in slope estimate
The error in slope π=π½Β Μβπ½
Variance of π characterizes slope error
You can calculate a 95% (or other significance level) confidence interval for π½Β Μ
What factors should the uncertainty depend on?
Estimate π^2 (π): π^2 (π)=(ββγπ_π^ γ^2 )/((πβ2)ββγ(π₯_πβπ₯Β Μ
)γ^2 )
N-2 is a βpenaltyβ because regression line minimizes variance of residuals
If the interval contains 0, the null hypothesis that π½=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 |