Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Note on Cook's Distance in the Multivariate Linear Model

  • Bae, Whasoo (Department of Data Science/Institute of Statistical Information, Inje University) ;
  • Hwang, Hyunmi (Department of Statistics, Pusan National University) ;
  • Kim, Choongrak (Department of Statistics, Pusan National University)
  • Received : 2012.10.16
  • Accepted : 2012.11.28
  • Published : 2013.01.31
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Abstract

We propose a version of Cook's distance (called local distance) in the multivariate linear model. The proposed version is a matrix, while the existing version of Cook's distance (called global distance) is a scalar. The existing Cook's distance is the trace of the proposed Cook's distance. In addition, we argue that the proposed Cook's distance has a more natural extension of the Cook's distance in the univariate linear model than the existing Cook's distance. An illustrative example based on a real data set is given.

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References

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