Linear model

2024-11-17T23:29:38Z

2600:1700:3A60:2870:C0A9:8A9F:20AA:8962: Undid weird revision 1256895688 by 171.102.210.198 (talk)

{{Short description|Type of statistical model}}
{{Distinguish|linear model of innovation}}

In [[statistics]], the term '''linear model''' refers to any model which assumes [[linearity]] in the system. The most common occurrence is in connection with regression models and the term is often taken as synonymous with [[linear regression]] model. However, the term is also used in [[time series analysis]] with a different meaning. In each case, the designation "linear" is used to identify a subclass of models for which substantial reduction in the complexity of the related [[statistical theory]] is possible.

==Linear regression models==
{{main|Linear regression}}

For the regression case, the [[statistical model]] is as follows. Given a (random) sample <math> (Y_i, X_{i1}, \ldots, X_{ip}), \, i = 1, \ldots, n </math> the relation between the observations <math>Y_i</math> and the [[independent variables]] <math>X_{ij}</math> is formulated as

:<math>Y_i = \beta_0 + \beta_1 \phi_1(X_{i1}) + \cdots + \beta_p \phi_p(X_{ip}) + \varepsilon_i \qquad i = 1, \ldots, n </math>

where <math> \phi_1, \ldots, \phi_p </math> may be [[Nonlinear system|nonlinear]] functions. In the above, the quantities <math>\varepsilon_i</math> are [[random variable]]s representing errors in the relationship. The "linear" part of the designation relates to the appearance of the [[regression coefficient]]s, <math>\beta_j</math> in a linear way in the above relationship. Alternatively, one may say that the predicted values corresponding to the above model, namely
:<math>\hat{Y}_i = \beta_0 + \beta_1 \phi_1(X_{i1}) + \cdots + \beta_p \phi_p(X_{ip}) \qquad (i = 1, \ldots, n), </math>
are linear functions of the <math>\beta_j</math>.

Given that estimation is undertaken on the basis of a [[least squares]] analysis, estimates of the unknown parameters <math>\beta_j</math> are determined by minimising a sum of squares function
:<math>S = \sum_{i = 1}^n \varepsilon_i^2 = \sum_{i = 1}^n \left(Y_i - \beta_0 - \beta_1 \phi_1(X_{i1}) - \cdots - \beta_p \phi_p(X_{ip})\right)^2 .</math>
From this, it can readily be seen that the "linear" aspect of the model means the following:
:*the function to be minimised is a quadratic function of the <math>\beta_j</math> for which minimisation is a relatively simple problem;
:*the derivatives of the function are linear functions of the <math>\beta_j</math> making it easy to find the minimising values;
:*the minimising values <math>\beta_j</math> are linear functions of the observations <math>Y_i</math>;
:*the minimising values <math>\beta_j</math> are linear functions of the random errors <math>\varepsilon_i</math> which makes it relatively easy to determine the statistical properties of the estimated values of <math>\beta_j</math>.

==Time series models==

An example of a linear time series model is an [[autoregressive moving average model]]. Here the model for values {<math>X_t</math>} in a time series can be written in the form

:<math> X_t = c + \varepsilon_t + \sum_{i=1}^p \phi_i X_{t-i} + \sum_{i=1}^q \theta_i \varepsilon_{t-i}.\,</math>

where again the quantities <math>\varepsilon_i</math> are random variables representing [[Innovation (signal processing)|innovations]] which are new random effects that appear at a certain time but also affect values of <math>X</math> at later times. In this instance the use of the term "linear model" refers to the structure of the above relationship in representing <math>X_t</math> as a linear function of past values of the same time series and of current and past values of the innovations.<ref>Priestley, M.B. (1988) ''Non-linear and Non-stationary time series analysis'', Academic Press. {{ISBN|0-12-564911-8}}</ref> This particular aspect of the structure means that it is relatively simple to derive relations for the mean and [[covariance]] properties of the time series. Note that here the "linear" part of the term "linear model" is not referring to the coefficients <math>\phi_i</math> and <math>\theta_i</math>, as it would be in the case of a regression model, which looks structurally similar.

==Other uses in statistics==

There are some other instances where "nonlinear model" is used to contrast with a linearly structured model, although the term "linear model" is not usually applied. One example of this is [[nonlinear dimensionality reduction]].

==See also==
* [[General linear model]]
* [[Generalized linear model]]
* [[Linear predictor function]]
* [[Linear system]]
* [[Linear regression]]
* [[Statistical model]]

==References==
{{Reflist}}

{{Statistics}}
{{Authority control}}

[[Category:Curve fitting]]
[[Category:Regression models]]

[[ar:نموذج الانحدار الخطي]]
[[fr:Modèle linéaire]]

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Linear model