具有一般协方差结构线性模型的局部影响评价

数学物理学报

具有一般协方差结构线性模型的局部影响评价

石磊; 陈飞

云南财经大学统计学院昆明 650221

收稿日期:2005-02-02 修回日期:2006-02-07 出版日期:2007-02-25 发布日期:2007-02-25
通讯作者: 石磊
基金资助:
国家自然科学基金(10261009)资助

Local Influence Assessment in the General Linear Model with Correlated Errors

Shi Lei; Chen Fei

Statistics College, Yunnan University of Finance and Economics, Kunming 650021

Received:2005-02-02 Revised:2006-02-07 Online:2007-02-25 Published:2007-02-25
Contact: Shi Lei

摘要/Abstract

摘要： 该文讨论了具有一般协方差结构线性模型的局部影响分析问题. 通过对广义Cook统计量中M/c的适当选取, 文章给出了一种对扰动的参数变换具有不变性质的局部影响度量. 在具协方差扰动模式下, 该文给出了回归系数和方差系数估计、最佳线性预测的局部影响诊断统计量.
该结果与数据删除法进行了比较, 并通过实例进行了分析和说明.

关键词: 具有一般协方差结构线性模型, 局部影响分析, 扰动模式, 广义Cook统计量

Abstract: Assessment local influence analysis in linear model with correlated errors is studied in this paper. The method is based on generalized Cook statistic
(Shi, 1997) with a suitable choice of M/c such that the local influence measure is invariant under parameterization. A perturbation scheme is introduced through covariance matrix. The local influence measures for the estimators of regression coefficients, variance coefficient and the best unbiased linear
prediction are derived. The results are compared with those of case-deletion, and a concrete example is used to illustration.

Key words: General linear model with correlated errors, Local influence, Perturbation scheme, Generalized Cook statistic

中图分类号:

62J20

石磊; 陈飞. 具有一般协方差结构线性模型的局部影响评价[J]. 数学物理学报, 2007, 27(1): 118-130.

Shi Lei; Chen Fei. Local Influence Assessment in the General Linear Model with Correlated Errors[J]. Acta mathematica scientia,Series A, 2007, 27(1): 118-130.

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