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Topic: Lin. regression, probability that a sample belongs to the data set?
Replies: 6   Last Post: Aug 14, 2014 9:13 PM

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John D'Errico

Posts: 9,130
Registered: 12/7/04
Re: Lin. regression, probability that a sample belongs to the data set?
Posted: Aug 12, 2014 9:03 AM
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"Aino" <> wrote in message <lscp64$nqi$>...
> Hi all.
> I have a simple linear regression with x and y data. Now, if I take a sample, say (x1, y1), how do I get some probability that the sample belongs to the regressed data at hand?
> In another words, it is possible (somehow..) to get for example 95% prediction bounds/intervals to the regressed data, but how do I do the opposite, how do I get the "percentage" for a certain (x1, y1)?
> The bigger picture (for those who are interested): I have two sets of data and two regression lines, and I have to decide to which data set the sample belongs to. Linear discriminant analysis is not an option here, but anything "ANCOVA with unequal slopes" would be interesting.

So given a linear regression, you can compute an uncertainty
around the line at any point x. This would be in the form of a
normal distribution, with mean at the predicted value of the line,
and a variance around that point in y. The variance will be largest
near the ends of the line of course.

So given that (x,y) pair, you will have a normal distribution. Use
the normal CDF to convert that to a probability score. You will
get different probabilities for each line of course, so the line
with the better score "wins".

A quick search online shows at least a few sites site with sufficient
information provided to do the computations, here:

or here:

Should be easy enough.


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