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.
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)
The scalar result of the computation.
a scalar or \(m \times m\) matrix giving the hat values for subset \(I\)
a scalar or \(m \times m\) matrix giving the residual values for subset \(I\)
the \(a\) parameter for the \(J^{det}\) and \(J^{tr}\) classes
the \(b\) parameter for the \(J^{det}\) and \(J^{tr}\) classes
scaling factor for the \(J^{det}\) and \(J^{tr}\) classes
sample size
number of predictor variables
number of response variables
deletion subset size
Michael Friendly
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.
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.