基于Pena距离的加权最小二乘估计的影响分析

利用Pena距离对加权线性最小二乘估计的影响问题进行讨论,得到加权最小二乘估计的Pena距离的表达式,对其性质进行讨论,从而得到高杠异常点的判别方法.文中对Pena距离与Cook距离的性能进行了对比,得到在一定条件下Pena距离优于Cook距离的结论.并通过数值实验对此方法的有效性进行验证.

Influence Analysis on Weighted Least Squares Estimator Based on Pena Distance

In this paper,the influence analysis of weighted linear least squares estimator is discussed based on the Pena distance.The expression of Pena distance of weighted least squares estimator is obtained and its properties are discussed,meanwhile the discrimination of high-leverage outlier are obtained. The function of the Pena distance and the Cook distance is contrasted,the conclusions are obtained that the Pena distance is better than and the Cook distance on certain conditions.An example is shown to illustrate the validity of the method.