Inferences on the Expected Response Variables

A valuable inference that can be made to infer the quality of the model predictions is the (l-a)I00% confidence interval of the predicted mean response at x0. It should be noted that the predicted mean response of the linear regression model at x0 is y0 = F(x0)k or simply y0 = X0k. Although the error term e0 is not included, there is some uncertainty in the predicted mean response due to the uncertainty in k. Under the usual assumptions of normality and independence, the covariance matrix of the predicted mean response is given by 

The covariance matrix COV(k ) is obtained by Equation 3.30. Let us now concentrate on the expected mean response of a particular response variable. The (l-a)100% confidence interval of yl0 (i=l.,w). the i,h element of the response vector y0 at x0 is given below 

The standard error of yl0, dyjQ, is the square root of the i diagonal element of COV(y0), namely, 

For the single response yn in the case of simple or multiple linear regression (i.e., w=T), the (I-a) 100% confidence intervalofyo is, 

In all the above cases we presented confidence intervals for the mean expected response rather than a future observation (future measurement) of the response variable, y0. In this case, besides the uncertainty in the estimated parameters, we must include the uncertainty due to the measurement error (so). 

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Inference on the Expected Response Variables Solution of Multiple Linear Regression Problems... 

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