Linear Methods for Regression

Abstract

A linear regression model assumes that the regression function E(Y|X) is linear in the inputs X ₁,..., X _p . Linear models were largely developed in the precomputer age of statistics, but even in today’s computer era there are still good reasons to study and use them. They are simple and often provide an adequate and interpretable description of how the inputs affect the output. For prediction purposes they can sometimes outperform fancier nonlinear models, especially in situations with small numbers of training cases, low signal-to-noise ratio or sparse data. Finally, linear methods can be applied to transformations of the inputs and this considerably expands their scope. These generalizations are sometimes called basis-function methods, and are discussed in Chapter 5.