A Primer on Linear Models

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Format: Paperback
Pub. Date: 2008-03-31
Publisher(s): Chapman & Hall/
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Summary

A Primer on Linear Modelspresents a unified, thorough, and rigorous development of the theory behind the statistical methodology of regression and analysis of variance (ANOVA). It seamlessly incorporates these concepts using non-full-rank design matrices and emphasizes the exact, finite sample theory supporting common statistical methods. With coverage steadily progressing in complexity, the text first provides examples of the general linear model, including multiple regression models, one-way ANOVA, mixed-effects models, and time series models. It then introduces the basic algebra and geometry of the linear least squares problem, before delving into estimability and the Gauss'Markov model. After presenting the statistical tools of hypothesis tests and confidence intervals, the author analyzes mixed models, such as two-way mixed ANOVA, and the multivariate linear model. The appendices review linear algebra fundamentals and results as well as Lagrange multipliers. This bookenables complete comprehension of the material by taking a general, unifying approach to the theory, fundamentals, and exact results of linear models.

Table of Contents

Prefacep. xiii
Examples of the General Linear Modelp. 1
Introductionp. 1
One-Sample Problemp. 1
Simple Linear Regressionp. 2
Multiple Regressionp. 2
One-Way ANOVAp. 3
First Discussionp. 4
Two-Way Nested Modelp. 5
Two-Way Crossed Modelp. 6
Analysis of Covariancep. 8
Autoregressionp. 8
Discussionp. 9
Summaryp. 10
Notesp. 10
Exercisesp. 11
The Linear Least Squares Problemp. 13
The Normal Equationsp. 13
The Geometry of Least Squaresp. 15
Reparameterizationp. 23
Gram-Schmidt Orthonormalizationp. 27
Summary of Important Resultsp. 30
Notesp. 30
Exercisesp. 31
Estimability and Least Squares Estimatorsp. 37
Assumptions for the Linear Mean Modelp. 37
Confounding, Identifiability, and Estimabilityp. 37
Estimability and Least Squares Estimatorsp. 38
First Example: One-Way ANOVAp. 41
Second Example: Two-Way Crossed without Interactionp. 45
Two-Way Crossed with Interactionp. 48
Reparameterization Revisitedp. 50
Imposing Conditions for a Unique Solution to the Normal Equationsp. 56
Constrained Parameter Spacep. 60
Summaryp. 64
Exercisesp. 64
Gauss-Markov Modelp. 71
Model Assumptionsp. 71
The Gauss-Markov Theoremp. 73
Variance Estimationp. 75
Implications of Model Selectionp. 76
Underfitting or Misspecificationp. 77
Overfitting and Multicollinearityp. 79
The Aitken Model and Generalized Least Squaresp. 82
Estimabilityp. 82
Linear Estimatorp. 83
Generalized Least Squares Estimatorsp. 83
Estimation of ¿2p. 83
Application: Aggregation Biasp. 87
Best Estimation in a Constrained Parameter Spacep. 88
Summaryp. 90
Notesp. 90
Exercisesp. 91
Addendum: Variance of Variance Estimatorp. 95
Distributional Theoryp. 99
Introductionp. 99
Multivariate Normal Distributionp. 99
Chi-Square and Related Distributionsp. 103
Distribution of Quadratic Formsp. 110
Cochran's Theoremp. 113
Regression Models with Joint Normalityp. 115
Summaryp. 118
Notesp. 118
Exercisesp. 119
Statistical Inferencep. 125
Introductionp. 125
Results from Statistical Theoryp. 125
Testing the General Linear Hypothesisp. 128
The Likelihood Ratio Test and Change in SSEp. 136
First Principles Test and LRTp. 139
Confidence Intervals and Multiple Comparisonsp. 141
Identifiabilityp. 147
Summaryp. 150
Notesp. 151
Exercisesp. 151
Further Topics in Testingp. 157
Introductionp. 157
Reparameterizationp. 157
Applying Cochran's Theorem for Sequential SSp. 160
Orthogonal Polynomials and Contrastsp. 169
Pure Error and the Lack of Fit Testp. 173
Heresy: Testing Nontestable Hypothesesp. 175
Summaryp. 177
Exercisesp. 177
Variance Components and Mixed Modelsp. 181
Introductionp. 181
Variance Components: One Wayp. 181
Variance Components: Two-Way Mixed ANOVAp. 186
Variance Components: General Casep. 189
Maximum Likelihoodp. 190
Restricted Maximum Likelihood (REML)p. 192
The ANOVA Approachp. 193
The Split Plotp. 194
Predictions and BLUPsp. 199
Summaryp. 202
Notesp. 202
Exercisesp. 203
The Multivariate Linear Modelp. 207
Introductionp. 207
The Multivariate Gauss-Markov Modelp. 207
Inference under Normality Assumptionsp. 211
Testingp. 216
First Principles Againp. 217
Likelihood Ratio Test and Wilks' Lambdap. 220
Other Test Statisticsp. 223
Power of Testsp. 224
Repeated Measuresp. 228
Confidence Intervalsp. 231
Summaryp. 233
Notesp. 233
Exercisesp. 234
Review of Linear Algebrap. 237
Notation and Fundamentalsp. 237
Rank, Column Space, and Nullspacep. 239
Some Useful Resultsp. 244
Solving Equations and Generalized Inversesp. 245
Projections and Idempotent Matricesp. 251
Trace, Determinants, and Eigenproblemsp. 254
Definiteness and Factorizationsp. 257
Notesp. 260
Exercisesp. 261
Lagrange Multipliersp. 269
Main Resultsp. 269
Notesp. 271
Exercisesp. 272
Bibliographyp. 273
Indexp. 277
Table of Contents provided by Ingram. All Rights Reserved.

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