A NOTE ON LARGE-SAMPLE PROPERTY OF COOK'S DISTANCE

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概要

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• Motivated by influence curve for the parameter vector, Cook's distance has several interesting features and thus plays an important role in linear regression diagnostics. Although Cook's distance is usually compared with various percentiles of an F-distribution, it sometimes puzzles statistics users since F-distribution is not the correct sampling distribution of Cook's distance. In this paper, we study the large-sample property of Cook's distance under the assumption of multivariate normality of predictor variables. Also we construct a table of critical values of Cook's distance as a diagnostics tool in linear regression.

• 日本計算機統計学会の論文

著者

• Huh Myung-hoe

  Dept. Of Statistics Korea University

関連論文

• Randomization, Quantification and Visualization(Keynote)
• A NOTE ON LARGE-SAMPLE PROPERTY OF COOK'S DISTANCE
• LOCAL ASPECTS OF SENSITIVITY ANALYSIS IN HAYASHI'S THIRD METHOD OF QUANTIFICATION

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