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    Lack of Fit Test

    Uploaded by

    Mukund Purohit
    The document discusses testing for lack of fit in a regression model. It explains that lack of fit testing checks if the data fits the assumed linear regression model or not. The test involves partitioning the residual sum of squares into pure error and lack of fit components. The test statistic is calculated as the ratio of the mean squares and follows an F distribution under the null hypothesis of no lack of fit.

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    Lack of Fit Test

    Uploaded by

    Mukund Purohit
    231 views5 pages
    The document discusses testing for lack of fit in a regression model. It explains that lack of fit testing checks if the data fits the assumed linear regression model or not. The test involves partitioning the residual sum of squares into pure error and lack of fit components. The test statistic is calculated as the ratio of the mean squares and follows an F distribution under the null hypothesis of no lack of fit.

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    Lack of fit test of regression model.

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    The document discusses testing for lack of fit in a regression model. It explains that lack of fit testing checks if the data fits the assumed linear regression model or not. The test involves partitioning the residual sum of squares into pure error and lack of fit components. The test statistic is calculated as the ratio of the mean squares and follows an F distribution under the null hypothesis of no lack of fit.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    231 views5 pages

    Lack of Fit Test

    Uploaded by

    Mukund Purohit
    The document discusses testing for lack of fit in a regression model. It explains that lack of fit testing checks if the data fits the assumed linear regression model or not. The test involves partitioning the residual sum of squares into pure error and lack of fit components. The test statistic is calculated as the ratio of the mean squares and follows an F distribution under the null hypothesis of no lack of fit.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 5

    Lack of fit test:

    We want to check the hypothesis that


    H o :there is no presence of lack of fit .

    Against
    H 1 :there isa presence of lack of fit .

    What is lack of fit?


    It means our data do not fit well to our assumed regression
    model.
    Let us take simple regression model
    y= 0 + 1 x +

    Here as usual

    is response variable,

    is predictor and is

    random error.
    Now we want to check that whether the sample data
    ( y i , x i ) , i=1,2, n .
    Fits well to the above linear model or not?
    So will use lack of fit F-test for this purpose as follows:
    The lack of fit test requires that we have replicate observations on
    y
    the response
    for at least one level of x . These replicates
    do need to be truly independent.
    E.g. suppose that y is product viscosity and
    x

    is temperature. True replication consists of running ni

    separate experiments at x=x i and observing viscosity ni times.


    The reading obtained at each replication shows variability in value
    of y i for the same level of x=x i . This variability is just because

    of method of measuring viscosity. The error variance includes


    this measurement error and the variability associated with
    reaching and maintaining the same temperature level in different
    experiments.
    And these replicated observations are used to obtain a model
    2
    independent estimate of .

    Suppose that we have ni observations on the response


    at the ith level of the regressor
    jth

    x i , i=1,2, , m.

    observation on the response at

    Let

    y ij

    denote the

    x i , i=1,2, m j=1,2, ni .

    There

    ni total observations
    are n=
    i=1

    The test procedure involves partitioning the residual sum of


    square into two parts, say
    SS res = SS pe + SS lof

    Here
    SS res is sum of squares due to residuals
    SS pe

    is sum of squares due to pure error

    SS lof

    is sum of squares due to lack of fit

    To develop this partitioning of SS res note that the ( ij ) th


    residual is
    y ij ^
    y i=( y ij y i ) +( y i^
    yi )

    Here ^y i is the mean of ni Observations at

    xi

    . Squaring and

    summing on both sides over i j we get


    y
    ni

    ni

    ni

    ( ij ^yi ) = ( y ij y i) + ( y i ^y i)2
    j=1

    i=1 j=1

    i=1 j =1

    i=1

    y
    ni

    ni

    ( ij ^yi ) = ( y ij y i) + ni ( y i ^y i )2
    j=1

    i=1 j=1

    i=1

    >
    i=1

    Since cross product term equals zero.


    The LHS is the usual residual sum of squares. the pure error sum
    of squares
    m

    ni

    SS pe = ( y ij y i )

    i=1 j=1

    is obtained by computing the corrected sum of squares of the


    repeat observations at each level of

    and then pooling over

    the m levels of x . If the assumption of constant variance is


    satisfied , this is a model-independent measure of pure error
    since only the variability of the

    '

    ys

    at each x level is used to

    compute SS pe .
    Since there are ni1 degrees of freedom for pure error at each
    level x i ,total nos. of d.f. associated with the pure error sum of
    squares is

    ( ni1 )=nm
    i=1

    The sum of squares due to lack of fit is

    SS lof = ni ( y i^
    y i)

    i=1

    is a weighted sum of squared deviation between the mean


    response

    y i

    at each

    level and the corresponding fitted

    values.
    If the fitted values ^y i are close to the corresponding average
    responses y i , then there is a strong indication that the
    ^
    yi

    regression function is linear. If

    deviate greatly from the y i ,

    then it is likely that the regression function is not linear.


    There are m2 d.f. are associated with SS lof , since there are m
    levels of x and two d.f. are lost because two parameters must
    be estimated to obtain the

    y i

    SS lof is always calculated by subtracting

    SS pe from

    The test statistics for lack of fit is


    SSlof
    m2
    F0 =
    SS pe
    nm

    MS lof
    MS pe

    SS res

    2
    The expected value of MS pe is , and the expected value of

    MS lof
    m

    E ( MS lof ) = + ni [ E ( y i ) 0 1 x i ] /(m2)
    2

    Is

    i=1

    Now if true regression function is linear then

    E ( y i )= 0 1 x i

    and the second term of above equation is zero gives


    And if true regression function is not linear then

    E ( MS lof ) = 2 .

    E ( y i ) 0 1 xi

    2
    And E ( MS lof ) > . And also when true regression function is linear

    then the statistic F0 follows the Fm 2,nm distribution


    Therefore to test lack of fit we would compute the test statistic
    F0

    and conclude that the regression function is not linear if

    F0 > F m2,nm

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