Degrees of Freedom in t-Distribution for Simple Regression without a Constant

In summary, the given problem involves simple regression without a constant, with Yi = Bxi + epsi for i = 1, 2, ..., n. The epsi are independent and N(0, sigma^2) distributed, with B and sigma^2 being unknown. The question is to explain why the expression \frac{\hat{B} - B}{S} \sqrt{\sum{x_i^2}} is t-distributed with n-1 degrees of freedom. The given equations involve the least square estimators for B and sigma^2. To solve the problem, one first considers the expression \frac{\hat{B} - B}{S}\sqrt{n}, which is t-distributed. Then, it
  • #1
MaxManus
277
1

Homework Statement



Simple regression without a constant
Yi = Bxi + epsi for i = 1,2,...n
epsi are independent and N(0, sigma^2) distributed, B and sigma^2 are unknown.

All my sums are from i = 1 to n
The question is: Explain why:
[tex] \frac{\hat{B} - B}{S} \sqrt{\sum{x_i^2}} [/tex]
is t-distirbuted with n-1 degrees of freedom.

[tex] \hat{B} [/tex] is the least square estimator for B, and S^2 is the least square estiamtor for sigma^2


I'm not sure how to start solving the problem. My first idea was that this looket like a standard t-distribution for [tex] \hat{B} [/tex], but [tex] \sqrt{n} \neq \sqrt{\sum{x_i^2}} [/tex]

Homework Statement





Homework Equations




The Attempt at a Solution

 
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  • #2
Can you say;
If
[tex] \frac{\hat{B} - B}{S}\sqrt{n} [/tex] is t-distributed then:
[tex] \frac{\hat{B} - B}{S} \sqrt{\sum{x_i^2}} [/tex]
is t-distributed since n and the x are just numbers?
And can you go further and say that if the first have (n-1) degrees of freedom then the second equation also has to?
 

FAQ: Degrees of Freedom in t-Distribution for Simple Regression without a Constant

What is the purpose of least squares in statistics?

The purpose of least squares in statistics is to find the line or curve that best fits a set of data points. It minimizes the sum of the squared differences between the actual data points and the predicted values from the line or curve.

How is the least squares method used in regression analysis?

The least squares method is used in regression analysis to estimate the parameters of a linear model. It calculates the slope and intercept of the line that best fits the data and can be used to make predictions about future data points.

What is the difference between simple and multiple linear regression?

Simple linear regression involves only one independent variable, while multiple linear regression involves two or more independent variables. The least squares method can be used for both types of regression to find the best fit line or curve.

How do outliers affect the results of least squares regression?

Outliers can significantly affect the results of least squares regression by pulling the line or curve towards them. It is important to identify and address outliers in the data before using the least squares method to ensure accurate results.

Can the least squares method be used for non-linear data?

Yes, the least squares method can be used for non-linear data by transforming the data into a linear form. This can be done through techniques such as logarithmic, exponential, or polynomial transformations.

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