General linear model

General Linear Model

The General Linear Model (GLM) is a statistical linear model that is widely used in various fields, including medicine, psychology, and social sciences, to analyze and interpret data. It encompasses multiple linear regression, ANOVA, ANCOVA, and other statistical methods. The GLM provides a flexible framework for modeling the relationship between a dependent variable and one or more independent variables.

Overview

The General Linear Model can be expressed in matrix form as:

<math>Y = X\beta + \epsilon</math>

where:

• <math>Y</math> is the vector of observed values of the dependent variable.
• <math>X</math> is the matrix of observed values of the independent variables (also known as the design matrix).
• <math>\beta</math> is the vector of unknown parameters (coefficients) to be estimated.
• <math>\epsilon</math> is the vector of random errors, assumed to be normally distributed with mean zero and constant variance.

Assumptions

The GLM relies on several key assumptions:

1. **Linearity**: The relationship between the dependent and independent variables is linear.
2. **Independence**: Observations are independent of each other.
3. **Homoscedasticity**: The variance of the errors is constant across all levels of the independent variables.
4. **Normality**: The errors are normally distributed.

Applications

The General Linear Model is used in various applications, including:

• **Multiple Linear Regression**: Used to predict the value of a dependent variable based on multiple independent variables.
• **Analysis of Variance (ANOVA)**: Used to compare means across different groups.
• **Analysis of Covariance (ANCOVA)**: Combines ANOVA and regression to adjust for the effects of covariates.

Estimation

The parameters of the GLM are typically estimated using the method of ordinary least squares (OLS), which minimizes the sum of the squared differences between the observed and predicted values of the dependent variable.

Interpretation

The coefficients in the GLM represent the change in the dependent variable for a one-unit change in the independent variable, holding all other variables constant. The significance of these coefficients can be tested using t-tests and F-tests.

Limitations

While the GLM is a powerful tool, it has limitations:

• **Assumption Violations**: Violations of the assumptions can lead to biased or inefficient estimates.
• **Multicollinearity**: High correlation between independent variables can make it difficult to estimate individual coefficients accurately.
• **Outliers**: Outliers can have a disproportionate effect on the model.

See Also

• Linear regression
• Statistical model
• Multivariate analysis

References

• Kutner, M. H., Nachtsheim, C. J., Neter, J., & Li, W. (2005). Applied Linear Statistical Models. McGraw-Hill/Irwin.
• Montgomery, D. C., Peck, E. A., & Vining, G. G. (2012). Introduction to Linear Regression Analysis. Wiley.