Jtr {mvinfluence} | R Documentation |
General Classes of Influence Measures
Description
These functions implement the general classes of influence measures for multivariate regression models defined in Barrett and Ling (1992), Eqn 2.3, 2.4, as shown in their Table 1.
Usage
Jtr(H, Q, a, b, f)
Jdet(H, Q, a, b, f)
COOKD(H, Q, n, p, r, m)
DFFITS(H, Q, n, p, r, m)
COVRATIO(H, Q, n, p, r, m)
Arguments
H |
a scalar or |
Q |
a scalar or |
a |
the |
b |
the |
f |
scaling factor for the |
n |
sample size |
p |
number of predictor variables |
r |
number of response variables |
m |
deletion subset size |
Details
There are two classes of functions, denoted J_I^{det}
and J_I^{tr}
,
with parameters n, p, q
of the data, m
of the subset size
and a
and b
which define powers of terms in the formulas, typically
in the set -2, -1, 0
.
They are defined in terms of the submatrices for a deleted index subset
I
,
H_I = X_I (X^T X)^{-1} X_I
Q_I = E_I (E^T E)^{-1} E_I
corresponding to the hat and residual matrices in univariate models.
For subset size m = 1
these evaluate to scalar equivalents of hat
values and studentized residuals.
For subset size m > 1
these are m \times m
matrices and
functions in the J^{det}
class use |H_I|
and |Q_I|
, while
those in the J^{tr}
class use tr(H_I)
and tr(Q_I)
.
The functions COOKD
, COVRATIO
, and DFFITS
implement
some of the standard influence measures in these terms for the general cases
of multivariate linear models and deletion of subsets of size m>1
,
but they have not yet been incorporated into our main functions
mlm.influence
and influence.mlm
.
Value
The scalar result of the computation.
Author(s)
Michael Friendly
References
Barrett, B. E. and Ling, R. F. (1992). General Classes of Influence Measures for Multivariate Regression. Journal of the American Statistical Association, 87(417), 184-191.