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General Classes of Influence Measures for Multivariate Regression

 

作者: BruceE. Barrett,   RobertF. Ling,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1992)
卷期: Volume 87, issue 417  

页码: 184-191

 

ISSN:0162-1459

 

年代: 1992

 

DOI:10.1080/01621459.1992.10475191

 

出版商: Taylor & Francis Group

 

关键词: Influential subsets;Leverage and residual components;Regression diagnostics

 

数据来源: Taylor

 

摘要:

Many of the existing measures for influential subsets in univariate ordinary least squares (OLS) regression analysis have natural extensions to the multivariate regression setting. Such measures may be characterized by functions of the submatricesHIof the hat matrixH, whereIis an index set of deleted cases, andQI, the submatrix ofQ=E(ETE)−1ET, whereEis the matrix of ordinary residuals. Two classes of measures are considered:f(·)tr[HIQI(I−HI−QI)a(I−HI)b]andf(·)det[(I−HI−QI)a(I−HI)b], wherefis a scalar function of the dimensions of matrices andaandbare integers. These characterizations motivate us to consider separable leverage and residual components for multiple-case influence and are shown to have advantages in computing influence measures for subsets. In the recent statistical literature on regression analysis, much attention has been given to problems of detecting observations that, individually or jointly, exert a disproportionate influence on the outcome of univariate linear regression analysis and to assessing the influence of such cases, individually or jointly. By far the most popular approach is that of measuring the change in some feature of the analysis upon deletion of one or more of the cases. Various measures have been proposed that emphasize different aspects of influence on the regression. For a review of such methods, see Cook (1977, 1979), Belsley, Kuh, and Welsch (1980), Cook and Weisberg (1982), and Chatterjee and Hadi (1986, 1988). In this article we generalize some of the univariate measures of influence to the multivariate regression setting and then show that the generalized measures are special cases of two general classes of influence measures. There are other approaches to influence measures in regression diagnostics (see, for example, Cook 1986) that are not special cases of our general classes. The majority of the existing measures, however, are.

 

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