Whether there is some connection between fitting probability distribution on some data set and linear regression? Or this two tools are for different problems?

Kale Sampson

Kale Sampson

Answered question

2022-11-09

Whether there is some connection between fitting probability distribution on some data set and linear regression? Or this two tools are for different problems?

Answer & Explanation

Cullen Petersen

Cullen Petersen

Beginner2022-11-10Added 13 answers

Yes, if you assume that your model is
Y i = β 0 + β 1 x i + ϵ i ,
where ϵ i | X N ( 0 , σ 2 ). Hence, fitting a regression model is the same as estimating the parameters of the (conditional) distribution of y i . I.e., you assume - by imposing the distribution of the noise term y i - that
y i | X N ( β 0 + β 1 x i , σ 2 ) ,
thus estimating the coefficients β 0 and β 1 and the variance σ 2 is the same as estimating the conditional expectation and variance of y | X.
Moreover, in a process of model selection - selecting a model from a set of possible models is the same as fitting a distribution to y | X. Namely, from statistical POV fitting probability model and regression analysis are very closely related topics.

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