9781119152729

Integrates the theory and applications of statistics using R A Course in Statistics with R has been written to bridge the gap between theory and applications and explain how mathematical expressions are converted into R programs. The book has been primarily designed as a useful companion for a Masters student during each semester of the course, but will also help applied statisticians in revisiting the underpinnings of the subject. With this dual goal in mind, the book begins with R basics and quickly covers visualization and exploratory analysis. Probability and statistical inference, inclusive of classical, nonparametric, and Bayesian schools, is developed with definitions, motivations, mathematical expression and R programs in a way which will help the reader to understand the mathematical development as well as R implementation. Linear regression models, experimental designs, multivariate analysis, and categorical data analysis are treated in a way which makes effective use of visualization techniques and the related statistical techniques underlying them through practical applications, and hence helps the reader to achieve a clear understanding of the associated statistical models.

Key features:

Integrates R basics with statistical concepts
Provides graphical presentations inclusive of mathematical expressions
Aids understanding of limit theorems of probability with and without the simulation approach
Presents detailed algorithmic development of statistical models from scratch
Includes practical applications with over 50 data sets

Prabhanjan Tattar , Business Analysis Senior Advisor at Dell International Services, Bangalore, India. Professor Tattar is a statistician providing analytical solutions to business problems inclusive of statistical models and machine learning as appropriate.

Suresh Ramaiah, Assistant Professor of Statistics at Dharwad University, Dharwad, India.

B G Manjunath, Business Analysis Advisor at Dell International Services, Bangalore, India

List of Figures xvii

List of Tables xxi

Preface xxiii

Acknowledgments xxv

Part I THE PRELIMINARIES

1 WhyR? 3

1.1 Why R? 3

1.2 R Installation 5

1.3 There is Nothing such as PRACTICALS 5

1.4 Datasets in R and Internet 6

1.4.1 List of Web-sites containing DATASETS 7

1.4.2 Antique Datasets 8

1.5 http://cran.r-project.org 9

1.5.1 http://r-project.org 10

1.5.2 http://www.cran.r-project.org/web/views/ 10

1.5.3 Is subscribing to R-Mailing List useful? 10

1.6 R and its Interface with other Software 11

1.7 help and/or? 11

1.8 R Books 12

1.9 A Road Map 13

2 The R Basics 15

2.1 Introduction 15

2.2 Simple Arithmetics and a Little Beyond 16

2.2.1 Absolute Values, Remainders, etc. 16

2.2.2 round, floor, etc. 17

2.2.3 Summary Functions 18

2.2.4 Trigonometric Functions 18

2.2.5 Complex Numbers 19

2.2.6 Special Mathematical Functions 21

2.3 Some Basic R Functions 22

2.3.1 Summary Statistics 23

2.3.2 is, as, is.na, etc. 25

2.3.3 factors, levels, etc. 26

2.3.4 Control Programming 27

2.3.5 Other Useful Functions 29

2.3.6 Calculus* 31

2.4 Vectors and Matrices in R 33

2.4.1 Vectors 33

2.4.2 Matrices 36

2.5 Data Entering and Reading from Files 41

2.5.1 Data Entering 41

2.5.2 Reading Data from External Files 43

2.6 Working with Packages 44

2.7 R Session Management 45

2.8 Further Reading 46

2.9 Complements, Problems, and Programs 46

3 Data Preparation and Other Tricks 49

3.1 Introduction 49

3.2 Manipulation with Complex Format Files 50

3.3 Reading Datasets of Foreign Formats 55

3.4 Displaying R Objects 56

3.5 Manipulation Using R Functions 57

3.6 Working with Time and Date 59

3.7 Text Manipulations 62

3.8 Scripts and Text Editors for R 64

3.8.1 Text Editors for Linuxians 64

3.9 Further Reading 65

3.10 Complements, Problems, and Programs 65

4 Exploratory Data Analysis 67

4.1 Introduction: The Tukey’s School of Statistics 67

4.2 Essential Summaries of EDA 68

4.3 Graphical Techniques in EDA 71

4.3.1 Boxplot 71

4.3.2 Histogram 76

4.3.3 Histogram Extensions and the Rootogram 79

4.3.4 Pareto Chart 81

4.3.5 Stem-and-Leaf Plot 84

4.3.6 Run Chart 88

4.3.7 Scatter Plot 89

4.4 Quantitative Techniques in EDA 91

4.4.1 Trimean 91

4.4.2 Letter Values 92

4.5 Exploratory Regression Models 95

4.5.1 Resistant Line 95

4.5.2 Median Polish 98

4.6 Further Reading 99

4.7 Complements, Problems, and Programs 100

Part II PROBABILITY AND INFERENCE

5 Probability Theory 105

5.1 Introduction 105

5.2 Sample Space, Set Algebra, and Elementary Probability 106

5.3 Counting Methods 113

5.3.1 Sampling: The Diverse Ways 114

5.3.2 The Binomial Coefficients and the Pascals Triangle 118

5.3.3 Some Problems Based on Combinatorics 119

5.4 Probability: A Definition 122

5.4.1 The Prerequisites 122

5.4.2 The Kolmogorov Definition 127

5.5 Conditional Probability and Independence 130

5.6 Bayes Formula 132

5.7 Random Variables, Expectations, and Moments 133

5.7.1 The Definition 133

5.7.2 Expectation of Random Variables 136

5.8 Distribution Function, Characteristic Function, and Moment Generation Function 143

5.9 Inequalities 145

5.9.1 The Markov Inequality 145

5.9.2 The Jensen’s Inequality 145

5.9.3 The Chebyshev Inequality 146

5.10 Convergence of Random Variables 146

5.10.1 Convergence in Distributions 147

5.10.2 Convergence in Probability 150

5.10.3 Convergence in rth Mean 150

5.10.4 Almost Sure Convergence 151

5.11 The Law of Large Numbers 152

5.11.1 The Weak Law of Large Numbers 152

5.12 The Central Limit Theorem 153

5.12.1 The de Moivre-Laplace Central Limit Theorem 153

5.12.2 CLT for iid Case 154

5.12.3 The Lindeberg-Feller CLT 157

5.12.4 The Liapounov CLT 162

5.13 Further Reading 165

5.13.1 Intuitive, Elementary, and First Course Source 165

5.13.2 The Classics and Second Course Source 166

5.13.3 The Problem Books 167

5.13.4 Other Useful Sources 167

5.13.5 R for Probability 167

5.14 Complements, Problems, and Programs 167

6 Probability and Sampling Distributions 171

6.1 Introduction 171

6.2 Discrete Univariate Distributions 172

6.2.1 The Discrete Uniform Distribution 172

6.2.2 The Binomial Distribution 173

6.2.3 The Geometric Distribution 176

6.2.4 The Negative Binomial Distribution 178

6.2.5 Poisson Distribution 179

6.2.6 The Hypergeometric Distribution 182

6.3 Continuous Univariate Distributions 184

6.3.1 The Uniform Distribution 184

6.3.2 The Beta Distribution 186

6.3.3 The Exponential Distribution 187

6.3.4 The Gamma Distribution 188

6.3.5 The Normal Distribution 189

6.3.6 The Cauchy Distribution 191

6.3.7 The t-Distribution 193

6.3.8 The Chi-square Distribution 193

6.3.9 The F-Distribution 194

6.4 Multivariate Probability Distributions 194

6.4.1 The Multinomial Distribution 194

6.4.2 Dirichlet Distribution 195

6.4.3 The Multivariate Normal Distribution 195

6.4.4 The Multivariate t Distribution 196

6.5 Populations and Samples 196

6.6 Sampling from the Normal Distributions 197

6.7 Some Finer Aspects of Sampling Distributions 201

6.7.1 Sampling Distribution of Median 201

6.7.2 Sampling Distribution of Mean of Standard Distributions 201

6.8 Multivariate Sampling Distributions 203

6.8.1 Noncentral Univariate Chi-square, t, and F Distributions 203

6.8.2 Wishart Distribution 205

6.8.3 Hotellings T2 Distribution 206

6.9 Bayesian Sampling Distributions 206

6.10 Further Reading 207

6.11 Complements, Problems, and Programs 208

7 Parametric Inference 209

7.1 Introduction 209

7.2 Families of Distribution 210

7.2.1 The Exponential Family 212

7.2.2 Pitman Family 213

7.3 Loss Functions 214

7.4 Data Reduction 216

7.4.1 Sufficiency 217

7.4.2 Minimal Sufficiency 219

7.5 Likelihood and Information 220

7.5.1 The Likelihood Principle 220

7.5.2 The Fisher Information 226

7.6 Point Estimation 231

7.6.1 Maximum Likelihood Estimation 231

7.6.2 Method of Moments Estimator 239

7.7 Comparison of Estimators 241

7.7.1 Unbiased Estimators 241

7.7.2 Improving Unbiased Estimators 243

7.8 Confidence Intervals 245

7.9 Testing Statistical Hypotheses–The Preliminaries 246

7.10 The Neyman-Pearson Lemma 251

7.11 Uniformly Most Powerful Tests 256

7.12 Uniformly Most Powerful Unbiased Tests 260

7.12.1 Tests for the Means: One- and Two-Sample t-Test 263

7.13 Likelihood Ratio Tests 265

7.13.1 Normal Distribution: One-Sample Problems 266

7.13.2 Normal Distribution: Two-Sample Problem for the Mean 269

7.14 Behrens-Fisher Problem 270

7.15 Multiple Comparison Tests 271

7.15.1 Bonferroni’s Method 272

7.15.2 Holm’s Method 273

7.16 The EM Algorithm* 274

7.16.1 Introduction 274

7.16.2 The Algorithm 274

7.16.3 Introductory Applications 275

7.17 Further Reading 280

7.17.1 Early Classics 280

7.17.2 Texts from the Last 30 Years 281

7.18 Complements, Problems, and Programs 281

8 Nonparametric Inference 283

8.1 Introduction 283

8.2 Empirical Distribution Function and Its Applications 283

8.2.1 Statistical Functionals 285

8.3 The Jackknife and Bootstrap Methods 288

8.3.1 The Jackknife 288

8.3.2 The Bootstrap 289

8.3.3 Bootstrapping Simple Linear Model* 292

8.4 Non-parametric Smoothing 294

8.4.1 Histogram Smoothing 294

8.4.2 Kernel Smoothing 297

8.4.3 Nonparametric Regression Models* 300

8.5 Non-parametric Tests 304

8.5.1 The Wilcoxon Signed-Ranks Test 305

8.5.2 The Mann-Whitney test 308

8.5.3 The Siegel-Tukey Test 309

8.5.4 The Wald-Wolfowitz Run Test 311

8.5.5 The Kolmogorov-Smirnov Test 312

8.5.6 Kruskal-Wallis Test* 314

8.6 Further Reading 315

8.7 Complements, Problems, and Programs 316

9 Bayesian Inference 317

9.1 Introduction 317

9.2 Bayesian Probabilities 317

9.3 The Bayesian Paradigm for Statistical Inference 321

9.3.1 Bayesian Sufficiency and the Principle 321

9.3.2 Bayesian Analysis and Likelihood Principle 322

9.3.3 Informative and Conjugate Prior 322

9.3.4 Non-informative Prior 323

9.4 Bayesian Estimation 323

9.4.1 Inference for Binomial Distribution 323

9.4.2 Inference for the Poisson Distribution 326

9.4.3 Inference for Uniform Distribution 327

9.4.4 Inference for Exponential Distribution 328

9.4.5 Inference for Normal Distributions 329

9.5 The Credible Intervals 332

9.6 Bayes Factors for Testing Problems 333

9.7 Further Reading 334

9.8 Complements, Problems, and Programs 335

Part III STOCHASTIC PROCESSES AND MONTE CARLO

10 Stochastic Processes 339

10.1 Introduction 339

10.2 Kolmogorov’s Consistency Theorem 340

10.3 Markov Chains 341

10.3.1 The m-Step TPM 344

10.3.2 Classification of States 345

10.3.3 Canonical Decomposition of an Absorbing Markov Chain 347

10.3.4 Stationary Distribution and Mean First Passage Time of an Ergodic Markov Chain 350

10.3.5 Time Reversible Markov Chain 352

10.4 Application of Markov Chains in Computational Statistics 352

10.4.1 The Metropolis-Hastings Algorithm 353

10.4.2 Gibbs Sampler 354

10.4.3 Illustrative Examples 355

10.5 Further Reading 361

10.6 Complements, Problems, and Programs 361

11 Monte Carlo Computations 363

11.1 Introduction 363

11.2 Generating the (Pseudo-) Random Numbers 364

11.2.1 Useful Random Generators 364

11.2.2 Probability Through Simulation 366

11.3 Simulation from Probability Distributions and Some Limit Theorems 373

11.3.1 Simulation from Discrete Distributions 373

11.3.2 Simulation from Continuous Distributions 380

11.3.3 Understanding Limit Theorems through Simulation 383

11.3.4 Understanding The Central Limit Theorem 386

11.4 Monte Carlo Integration 388

11.5 The Accept-Reject Technique 390

11.6 Application to Bayesian Inference 394

11.7 Further Reading 397

11.8 Complements, Problems, and Programs 397

Part IV LINEAR MODELS

12 Linear Regression Models 401

12.1 Introduction 401

12.2 Simple Linear Regression Model 402

12.2.1 Fitting a Linear Model 403

12.2.2 Confidence Intervals 405

12.2.3 The Analysis of Variance (ANOVA) 407

12.2.4 The Coefficient of Determination 409

12.2.5 The “lm” Function from R 410

12.2.6 Residuals for Validation of the Model Assumptions 412

12.2.7 Prediction for the Simple Regression Model 416

12.2.8 Regression through the Origin 417

12.3 The Anscombe Warnings and Regression Abuse 418

12.4 Multiple Linear Regression Model 421

12.4.1 Scatter Plots: A First Look 422

12.4.2 Other Useful Graphical Methods 423

12.4.3 Fitting a Multiple Linear Regression Model 427

12.4.4 Testing Hypotheses and Confidence Intervals 429

12.5 Model Diagnostics for the Multiple Regression Model 433

12.5.1 Residuals 433

12.5.2 Influence and Leverage Diagnostics 436

12.6 Multicollinearity 441

12.6.1 Variance Inflation Factor 442

12.6.2 Eigen System Analysis 443

12.7 Data Transformations 445

12.7.1 Linearization 445

12.7.2 Variance Stabilization 447

12.7.3 Power Transformation 449

12.8 Model Selection 451

12.8.1 Backward Elimination 453

12.8.2 Forward and Stepwise Selection 456

12.9 Further Reading 458

12.9.1 Early Classics 458

12.9.2 Industrial Applications 458

12.9.3 Regression Details 458

12.9.4 Modern Regression Texts 458

12.9.5 R for Regression 458

12.10 Complements, Problems, and Programs 458

13 Experimental Designs 461

13.1 Introduction 461

13.2 Principles of Experimental Design 461

13.3 Completely Randomized Designs 462

13.3.1 The CRD Model 462

13.3.2 Randomization in CRD 463

13.3.3 Inference for the CRD Models 465

13.3.4 Validation of Model Assumptions 470

13.3.5 Contrasts and Multiple Testing for the CRD Model 472

13.4 Block Designs 477

13.4.1 Randomization and Analysis of Balanced Block Designs 477

13.4.2 Incomplete Block Designs 481

13.4.3 Latin Square Design 484

13.4.4 Graeco Latin Square Design 487

13.5 Factorial Designs 490

13.5.1 Two Factorial Experiment 491

13.5.2 Three-Factorial Experiment 496

13.5.3 Blocking in Factorial Experiments 502

13.6 Further Reading 504

13.7 Complements, Problems, and Programs 504

14 Multivariate Statistical Analysis - I 507

14.1 Introduction 507

14.2 Graphical Plots for Multivariate Data 507

14.3 Definitions, Notations, and Summary Statistics for Multivariate Data 511

14.3.1 Definitions and Data Visualization 511

14.3.2 Early Outlier Detection 517

14.4 Testing for Mean Vectors : One Sample 520

14.4.1 Testing for Mean Vector with Known Variance-Covariance Matrix 520

14.4.2 Testing for Mean Vectors with Unknown Variance-Covariance Matrix 521

14.5 Testing for Mean Vectors : Two-Samples 523

14.6 Multivariate Analysis of Variance 526

14.6.1 Wilks Test Statistic 526

14.6.2 Roy’s Test 528

14.6.3 Pillai’s Test Statistic 529

14.6.4 The Lawley-Hotelling Test Statistic 529

14.7 Testing for Variance-Covariance Matrix: One Sample 531

14.7.1 Testing for Sphericity 532

14.8 Testing for Variance-Covariance Matrix: k-Samples 533

14.9 Testing for Independence of Sub-vectors 536

14.10 Further Reading 538

14.11 Complements, Problems, and Programs 538

15 Multivariate Statistical Analysis - II 541

15.1 Introduction 541

15.2 Classification and Discriminant Analysis 541

15.2.1 Discrimination Analysis 542

15.2.2 Classification 543

15.3 Canonical Correlations 544

15.4 Principal Component Analysis – Theory and Illustration 547

15.4.1 The Theory 547

15.4.2 Illustration Through a Dataset 549

15.5 Applications of Principal Component Analysis 553

15.5.1 PCA for Linear Regression 553

15.5.2 Biplots 556

15.6 Factor Analysis 560

15.6.1 The Orthogonal Factor Analysis Model 561

15.6.2 Estimation of Loadings and Communalities 562

15.7 Further Reading 568

15.7.1 The Classics and Applied Perspectives 568

15.7.2 Multivariate Analysis and Software 568

15.8 Complements, Problems, and Programs 569

16 Categorical Data Analysis 571

16.1 Introduction 571

16.2 Graphical Methods for CDA 572

16.2.1 Bar and Stacked Bar Plots 572

16.2.2 Spine Plots 575

16.2.3 Mosaic Plots 577

16.2.4 Pie Charts and Dot Charts 580

16.2.5 Four-Fold Plots 583

16.3 The Odds Ratio 586

16.4 The Simpson’s Paradox 588

16.5 The Binomial, Multinomial, and Poisson Models 589

16.5.1 The Binomial Model 589

16.5.2 The Multinomial Model 590

16.5.3 The Poisson Model 591

16.6 The Problem of Overdispersion 593

16.7 The 𝜒2- Tests of Independence 593

16.8 Further Reading 595

16.9 Complements, Problems, and Programs 595

17 Generalized Linear Models 597

17.1 Introduction 597

17.2 Regression Problems in Count/Discrete Data 597

17.3 Exponential Family and the GLM 600

17.4 The Logistic Regression Model 601

17.5 Inference for the Logistic Regression Model 602

17.5.1 Estimation of the Regression Coefficients and Related Parameters 602

17.5.2 Estimation of the Variance-Covariance Matrix of 𝛽̂ 606

17.5.3 Confidence Intervals and Hypotheses Testing for the Regression Coefficients 607

17.5.4 Residuals for the Logistic Regression Model 608

17.5.5 Deviance Test and Hosmer-Lemeshow Goodness-of-Fit Test 611

17.6 Model Selection in Logistic Regression Models 613

17.7 Probit Regression 618

17.8 Poisson Regression Model 621

17.9 Further Reading 625

17.10 Complements, Problems, and Programs 626

Appendix A Open Source Software–An Epilogue 627

Appendix B The Statistical Tables 631

Bibliography 633

Author Index 643

Subject Index 649

R Codes 659

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A Course in Statistics With R

A Course in Statistics With R

1119152720

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