
八、若已知獨立資料(xi,yi), i=1,…, 5,分別為(-2,0), (-1,0), (0,1), (1,1), (2,3),且滿足線性
模型 yi = 1+βxi+εi,其中 εi為獨立同分布之 N(0,σ2)隨機變數,i= 1,…, 5。
(每小題 10 分,共 20 分)
試求斜率 β之最小平方估計(Least Squares Estimate)。
試檢定上述迴歸模型是否顯著,並寫出檢定統計量之分布。
表一:常態分布:內為大於 z之右尾機率 P(Z
z)=1-Φ(z)。
z .00 .01 .02 .03 .04 .05 .06 .07 .08 .09
1.9 .0287 .0281 .0274 .0268 .0262 .0256 .0250 .0244 .0239 .0233
2.0 .0228 .0222 .0217 .0212 .0207 .0202 .0197 .0192 .0188 .0183
2.1 .0179 .0174 .0170 .0166 .0162 .0158 .0154 .0150 .0146 .0143
2.2 .0139 .0136 .0132 .0129 .0125 .0122 .0119 .0116 .0113 .0110
2.3 .0107 .0104 .0102 .0099 .0096 .0094 .0091 .0089 .0087 .0084
2.4 .0082 .0080 .0078 .0075 .0073 .0071 .0069 .0068 .0066 .0064
2.5 .0062 .0060 .0059 .0057 .0055 .0054 .0052 .0051 .0049 .0048
2.6 .0047 .0045 .0044 .0043 .0041 .0040 .0039 .0038 .0037 .0036
表二:T分布:右尾機率為 α之臨界值 Tdf;α。
α .20 .10 .05 .025 .01 .005
df
3 0.978 1.638 2.353 3.182 4.541 5.841
4 0.941 1.533 2.132 2.776 3.747 4.604
5 0.920 1.476 2.015 2.571 3.365 4.032
6 0.906 1.440 1.943 2.447 3.143 3.707
7 0.896 1.415 1.895 2.365 2.998 3.499
8 0.889 1.397 1.860 2.306 2.896 3.355
9 0.883 1.383 1.833 2.262 2.821 3.250
10 0.879 1.372 1.812 2.228 2.764 3.169
11 0.876 1.363 1.796 2.201 2.718 3.106
表三:卡方(Chi-square)分布:右尾機率為 α 之臨界值
。
α .20 .10 .05 .025 .01 .005
df
3 4.64 6.25 7.81 9.35 11.34 12.84
4 5.99 7.78 9.49 11.14 13.28 14.86
5 7.29 9.24 11.07 12.83 15.09 16.75
6 8.56 10.64 12.59 14.45 16.81 18.55
7 9.80 12.02 14.07 16.01 18.48 20.28
表四:F分布:右尾機率為 α = 0.05 之臨界值 Fn1,n2; α。
n1 1 2 3 4 5 6
n2
1 161.45 199.50 215.71 224.58 230.16 233.99
2 18.51 19.00 19.16 19.25 19.30 19.33
3 10.13 9.55 9.28 9.12 9.01 8.94
4 7.71 6.94 6.59 6.39 6.26 6.16
5 6.61 5.79 5.41 5.19 5.05 4.95
6 5.99 5.14 4.76 4.53 4.39 4.28