workshop 8 3a non independence part 1
play

Workshop 8.3a: Non-independence part 1 Murray Logan 28 May 2015 - PowerPoint PPT Presentation

Workshop 8.3a: Non-independence part 1 Murray Logan 28 May 2015 Section 1 Linear modelling assumptions Linear modelling assumptions y i = 0 + 1 x i + i i N (0 , 2 ) Homogeneity of variance 2 . 0 0


  1. Workshop 8.3a: Non-independence part 1 Murray Logan 28 May 2015

  2. Section 1 Linear modelling assumptions

  3. Linear modelling assumptions y i = β 0 + β 1 × x i + ε i ϵ i ∼ N (0 , σ 2 ) Homogeneity of variance   σ 2 . 0 0 ··· . .  σ 2  0 . ··· σ 2 )   y i = β 0 + β 1 × x i + ε i ε i ∼ N ( 0 , . V = cov = . . .   . . σ 2 � �� � � �� �  . .  ··· Linearity Normality σ 2 0 . ··· ··· Zero covariance (=independence) . . .

  4. Variance-covariance   σ 2 0 · · · 0 .   . σ 2 0 · · · .   V =   . .  . .  σ 2 · · · . .   σ 2 0 · · · · · · � �� � Variance-covariance matrix

  5. Compound symmetry • constant correlation (and cov) • sphericity   1 · · · ρ ρ .   . 1 · · · ρ .   cor ( ε ) =   .   . · · · 1 .   ... ρ · · · · · · 1 � �� � Correlation matrix   θ + σ 2 · · · θ θ .   . θ + σ 2 · · · θ .   V =   . .   . . θ + σ 2 · · · . .   θ + σ 2 · · · · · · θ � �� � Variance-covariance matrix

  6. Temporal autocorrelation • correlation dependent on proximity • data.t 0 20 40 60 80 100 30 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 20 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● y ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 10 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 0 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 100 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 80 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 60 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● x ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 40 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 20 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 0 2010 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● 2005 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ● year ● ● ● ● ● 2000 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ● ● ● ● ● 1995 ●● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 1990 ● ● ● ● ● ● ● ● ● ● ● ● 0 10 20 30 1990 1995 2000 2005 2010

  7. > data.t.lm <- lm (y~x, data=data.t) Temporal autocorrelation • Relationship between Y and X . . > par (mfrow= c (2,3)) > plot (data.t.lm, which=1:6, ask=FALSE) Residuals vs Fitted Normal Q−Q Scale−Location 96 ● 20 Standardized residuals 6 ● 21 Standardized residuals 2 ● ● ● ● 6 ● 21 6 ● 21 ● ● ● ● ● ● ● ● ● ● ● ● ● ● 1.2 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ●● ● ● ●● ● ● ● ●● ● ● ● ● ● ● ● ● ● 10 ● ● ● ● ● ● ● ● ● ● ● ● ● ● 1 ● ● ● ● ● ● ● ● Residuals ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 0.8 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 0 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 0 ● ● ● ● ● ● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 0.4 ● ● ● ● ● ● ● ● ● ● ● ● ● −1 ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ● ● ● ● ● ●● ● ●● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● −20 ● ● ● ● ● ● 96 ● −2 ● 0.0 ● ● 96 9.5 10.5 11.5 12.5 −2 −1 0 1 2 9.5 10.5 11.5 12.5 Fitted values Theoretical Quantiles Fitted values Cook's dist vs Leverage h ii ( 1 − Cook's distance Residuals vs Leverage 0.06 2.5 2 1.5 96 ● 96 7 7 ● Standardized residuals 2 ● 6 ● ● ● 7 ● ● ● 6 6 ● ● ● ● Cook's distance ● ● ● Cook's distance ● ● ● ● 0.04 ● 1 0.04 1 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 0 ● ● ● ● ● ● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● 0.02 ● 0.02 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● −1 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 0.5 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● −2 ● ● ● Cook's distance ● ● ● ● ● ● ● ● ● 0.00 ● 0.00 ● ● ● 96 ●● ● ● ● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ● ● ● ● ● ● 0

  8. > acf ( rstandard (data.t.lm)) Temporal autocorrelation • Relationship between Y and X . . Series rstandard(data.t.lm) 1.0 0.8 0.6 ACF 0.4 0.2 0.0 −0.2 0 5 10 15 20 Lag

  9. > plot ( rstandard (data.t.lm)~data.t$year) Temporal autocorrelation • can we partial out time . . 2 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 1 ● ● ● ● ● ● ● ● ● ● rstandard(data.t.lm) ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● 0 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● −1 ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● −2 ● 1990 1995 2000 2005 2010 data.t$year

  10. x > library (car) year 1.040037 1.040037 > data.t.lm1 <- lm (y~x+year, data.t) Temporal autocorrelation • can we partial out time . . > vif ( lm (y~x+year, data=data.t)) . .

Download Presentation
Download Policy: The content available on the website is offered to you 'AS IS' for your personal information and use only. It cannot be commercialized, licensed, or distributed on other websites without prior consent from the author. To download a presentation, simply click this link. If you encounter any difficulties during the download process, it's possible that the publisher has removed the file from their server.

Recommend


More recommend