In regression, mean response (or expected response) and predicted response, also known as mean outcome (or expected outcome) and predicted outcome, are values of the dependent variable calculated from the regression parameters and a given value of the independent variable. The values of these two responses are the same, but their calculated variances are different.
The concept is a generalization of the distinction between the standard error of the mean and the sample standard deviation.
In simple linear regression (i.e., straight line fitting with errors only in the y-coordinate), the model is
where is the response variable, is the explanatory variable, εi is the random error, and and are parameters. The mean, and predicted, response value for a given explanatory value, xd, is given by
while the actual response would be
Expressions for the values and variances of and are given in linear regression.
Variance of the mean response
Since the data in this context is defined to be (x, y) pairs for every observation, the mean response at a given value of x, say xd, is an estimate of the mean of the y values in the population at the x value of xd, that is . The variance of the mean response is given by
This expression can be simplified to
where m is the number of data points.
To demonstrate this simplification, one can make use of the identity
The general case of linear regression can be written as
Therefore, since the general expression for the variance of the mean response is
where S is the covariance matrix of the parameters, given by
- Draper, N. R.; Smith, H. (1998). Applied Regression Analysis (3rd ed.). John Wiley. ISBN 0-471-17082-8.