Distribution of an arbitrary linear transformation of internally Studentized residuals of multivariate regression with elliptical errors

Seppo Pynnönen

Journal of Multivariate Analysis, 2012, vol. 107, issue C, 40-52

Abstract: This paper derives the matrix-variate distribution of an arbitrary non-singular linear transformation of Studentized multivariate observations. The joint distributions of the major commonly utilized Studentized versions of (multivariate) regression residuals are obtained as special cases of the matrix-variate distribution introduced in the paper. As applications, the paper discusses testing for outliers, omitted variables, and general linear hypothesis in terms of Studentized linear combinations of residuals.

Keywords: Left-spherical elliptical distribution; Residual diagnostics; General linear hypothesis (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.jmva.2012.01.014

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