info:eu-repo/semantics/report
SENSITIVITY ANALYSIS IN LINEAR REGRESSION
Autor
JOSE ANTONIO DIAZ GARCIA
Institución
Resumen
Based
on
a multiv
ariate
linear
regression
mo
del,
we prop
ose
sev
eral
generalizations
to the
multiv
ariate
classical
and
mo
di ed
Cook's
distances
in order
to detect
one
or more
of in uen
tial
observ
ations
including
the
case
of linear
transformations
of the
estimated
regression
parameter.
For those
distances,
we deriv
ed
the
exact
distributions
and
point out
a metho
d to extend
the
calculation
of exact
distributions
for
sev
eral
other
metrics
available
in the
literature,
for
the
univ
ariate
and
multiv
ariate
cases.
The
results
are
extended
to elliptical
families
not
under
the
assumption
of normalit
y. An
application
is describ
ed
in order
to exemplify
the
metho
dology.
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