The help pages in R assume I know what those numbers mean, but I don't. I'm trying to really intuitively understand every number here. I will just post the output and comment on what I found out. There might (will) be mistakes, as I'll just write what I assume. Mainly I'd like to know what the t-value in the coefficients mean, and why they print the residual standard error.
Call:
lm(formula = iris$Sepal.Width ~ iris$Petal.Width)
Residuals:
Min 1Q Median 3Q Max
-1.09907 -0.23626 -0.01064 0.23345 1.17532
This is a 5-point-summary of the residuals (their mean is always 0, right?). The numbers can be used (I'm guessing here) to quickly see if there are any big outliers. Also you can already see it here if the residuals are far from normally distributed (they should be normally distributed).
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 3.30843 0.06210 53.278 < 2e-16 ***
iris$Petal.Width -0.20936 0.04374 -4.786 4.07e-06 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Estimates $\hat{\beta_i}$, computed by least squares regression. Also, the standard error is $\sigma_{\beta_i}$. I'd like to know how this is calculated. I have no idea where the t-value and the corresponding p-value come from. I know $\hat{\beta}$ should be normal distributed, but how is the t-value calculated?
Residual standard error: 0.407 on 148 degrees of freedom
$\sqrt{ \frac{1}{n-p} \epsilon^T\epsilon }$, I guess. But why do we calculate that, and what does it tell us?
Multiple R-squared: 0.134, Adjusted R-squared: 0.1282
$ R^2 = \frac{s_\hat{y}^2}{s_y^2} $, which is $ \frac{\sum_{i=1}^n (\hat{y_i}-\bar{y})^2}{\sum_{i=1}^n (y_i-\bar{y})^2} $. The ratio is close to 1 if the points lie on a straight line, and 0 if they are random. What is the adjusted R-squared?
F-statistic: 22.91 on 1 and 148 DF, p-value: 4.073e-06
F and p for the whole model, not only for single $\beta_i$s as previous. The F value is $ \frac{s^2_{\hat{y}}}{\sum\epsilon_i} $. The bigger it grows, the more unlikely it is that the $\beta$'s do not have any effect at all.