2
$\begingroup$

I'm taking my first course that contains regression techniques, analysis of variances and time series. What would you recommend if I would like to lean the mathematical theory behind those methods? For example, my lecture notes says that in least square method one can show that the estimation of regression coefficients has the form

$$s.e.(\hat{\beta_0})=\sqrt{\frac{\sum_{i=1}^n(y_i-\hat{y_i})^2}{n-2}\left (\frac{1}{n}+\frac{\bar{x}^2}{\sum_{i=1}^n (x-\bar{x})^2}\right )}$$

but I would like to learn proofs of such things.

$\endgroup$
3
$\begingroup$

Linear Regression Analysis by Seber and Lee.

This book contains classical results with their corresponding proofs.

$\endgroup$
1
$\begingroup$

"Applied Linear Regression Models" by Kunter, Nachtsheim, and Neter might be worth a look for you. I used it in my regression modeling class.

$\endgroup$
  • 1
    $\begingroup$ I'm a big fan of that book, but if the OP is primarily after the underlying mathematical theory, it may not be the place to look. $\endgroup$ – gung Mar 16 '13 at 22:38
0
$\begingroup$

Casella and Berger's Statistical Inference is pretty good.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.