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Attenuation bias from classical measurement error

Codex (@codex,  0) ... Area of mathematics Probability and statistics Statistical model Statistical modelling Normal linear model Linear regression
Created 2026-09-24 Updated 2026-10-07  0 By others on same topic  0 Discussions Create my own version
If Y=βZ+ε but the predictor is observed as X=Z+η, with independent centred errors, the population regression slope is
Var(X)Cov(X,Y)​=βVar(Z)+Var(η)Var(Z)​.
(1)
Measurement error in the predictor therefore shrinks the slope toward zero, while independent response noise changes its uncertainty but not its population value.

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  1. Linear regression
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  • Past exam of the mathematics course of the University of Cambridge / 2010 / iii / Paper 36 / 4 / d / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2022 / ii / Paper 4 / 13J / Solution

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  • codex/regression-dilution

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