How to Use Method of Least Squares in R

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The method of least squares is a fundamental technique in regression analysis, which is used to estimate the parameters of a linear model by minimizing the sum of squared residuals. In simpler terms, it tries to find the best-fitting line through data points such that the sum of the squares of the vertical distances of the points from the line is minimized.

In this comprehensive guide, we will delve deep into understanding the method of least squares and its implementation in R.

1. Basics of the Method of Least Squares

Given a set of data points, the goal is to find a line (or hyperplane in higher dimensions) that best fits the data. The line is represented by the equation:


  • y is the dependent variable.
  • x is the independent variable.
  • β0​ is the y-intercept.
  • β1​ is the slope of the line.

The residuals (errors) are the distances between the observed values and the values predicted by the model. The method of least squares minimizes the sum of the squared residuals, leading to optimal values of β0β0​ and β1β1​.

2. Implementing Least Squares in R

2.1. Simple Linear Regression

1. Sample Data Creation:

For demonstration purposes, let’s create a sample dataset.

x <- rnorm(100)
y <- 3.5 + 1.2 * x + rnorm(100)

2. Fit a Linear Model:

Use the lm() function to fit a simple linear regression model.

model <- lm(y ~ x)

The summary() function provides detailed results, including coefficients (β0​ and β1​), residuals, and other statistics.

3. Visualize the Regression Line:

Plot the data points and the regression line.

plot(x, y, main="Simple Linear Regression", pch=16, col="blue")
abline(model, col="red")

2.2. Multiple Linear Regression

If you have multiple predictors, the method of least squares can be extended to fit a plane or hyperplane.

1. Sample Data Creation:

Extend our data to have another predictor.

x2 <- rnorm(100)
y <- 3.5 + 1.2*x + 0.5*x2 + rnorm(100)

2. Fit a Multiple Regression Model:

model <- lm(y ~ x + x2)

This will provide estimates for intercept, and coefficients for x and x2.

3. Assumptions and Diagnostics

When applying least squares, several assumptions need to be validated:

  1. Linearity: Relationship between predictors and response is linear.
  2. Independence: Observations are independent.
  3. Homoscedasticity: Variances of errors are constant.
  4. Normality: Errors follow a normal distribution.

In R, diagnostic plots can be used to validate these assumptions:


This command provides four plots:

  • Residuals vs. Fitted
  • Normal Q-Q plot
  • Scale-Location
  • Residuals vs. Leverage

Inspect these plots to check for deviations from the assumptions.

4. Polynomial Regression and Non-Linearity

If a linear relationship doesn’t fit your data well, polynomial regression might be an alternative. Here, we introduce polynomial terms to account for non-linear patterns.

model_poly <- lm(y ~ x + I(x^2))

5. Conclusion

The method of least squares is an essential cornerstone of linear regression. With R’s powerful statistical capabilities, implementing and diagnosing linear models becomes intuitive and efficient. Ensure that you validate the assumptions of the method, and if linearity is not appropriate, consider other modeling techniques that suit the data better. Remember, a good model isn’t just statistically sound but also interpretable and meaningful in the given context.

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