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Rao distance as a measure of influence in the multivariate linear model

Author

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  • M. D. Jimenez Gamero
  • J. M. Munoz Pichardo
  • J. Munoz Garcia
  • A. Pascual Acosta

Abstract

Several methods have been suggested to detect influential observations in the linear regression model and a number of them have been extended for the multivariate regression model. In this article we consider the multivariate general linear model, Y = XB + k , which contains the linear regression model and the multivariate regression model as particular cases. Assuming that the random disturbances are normally distributed, the BLUE of v B is also normally distributed. Since the distribution of the BLUE of v B and the distribution of the BLUE of v B in the model with the omission of a set of observations differ, to study the influence that a set of observations has on the BLUE of v B , we propose to measure the distance between both distributions. To do this we use Rao distance.

Suggested Citation

  • M. D. Jimenez Gamero & J. M. Munoz Pichardo & J. Munoz Garcia & A. Pascual Acosta, 2002. "Rao distance as a measure of influence in the multivariate linear model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(6), pages 841-854.
    • Handle: RePEc:taf:japsta:v:29:y:2002:i:6:p:841-854
    DOI: 10.1080/02664760220136177
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    References listed on IDEAS

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    1. Hadi, Ali S., 1992. "A new measure of overall potential influence in linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 14(1), pages 1-27, June.
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    Cited by:

    1. Munoz-Garcia, J. & Munoz-Pichardo, J.M. & Pardo, L., 2006. "Cressie and Read power-divergences as influence measures for logistic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3199-3221, July.
    2. Munoz-Pichardo, J. M. & Enguix-Gonzalez, A. & Munoz-Garcia, J. & Pascual-Acosta, A., 2004. "The Frechet's metric as a measure of influence in multivariate linear models with random errors elliptically distributed," Computational Statistics & Data Analysis, Elsevier, vol. 46(3), pages 469-491, June.
    3. J. Muñoz-Pichardo & J. Moreno-Rebollo & A. Enguix-González & A. Pascual-Acosta, 2008. "Influence measures on profile analysis with elliptical data through Frèchet’s metric," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 68(1), pages 111-127, June.
    4. Villaluenga de Gracia, Susana, 2013. "La partida doble y el cargo y data como instrumentos de un sistema de información contable y responsabilidad jurídica integral, según se manifiesta en fuentes documentales de la Catedral de Toledo (15," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 16(2), pages 126-135.

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