The Generalized F Distribution
نویسنده
چکیده
where Y0 is a (N 1) vector of observations, X0 is a (N k) full rank matrix of known constants, is a (k 1) vector of unknown parameters, and "0 is a (N 1) vector of randomly distributed Gaussian errors with E("0) = 0 and V ar("0) = IN : The least squares estimate of is ̂ = (X 0 0X0) X 0 0Y0: The basic idea in in uence analysis as introduced by Cook (1977) concerns the stability of a linear regression model under small perturbations. For example, if some cases are deleted, then what changes occur in estimates for the parameter vector ? Cook's DI statistics are based on a Mahalanobis distance between ̂ (using all the cases) and ̂I (using all cases except those in the subset I), as given by
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