Diagnostic Robust Generalized Potential Based on Index Set Equality (DRGP (ISE)) for the identification of high leverage points in linear model

Hock Ann Lim () and Habshah Midi
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Hock Ann Lim: Infrastructure University Kuala Lumpur
Habshah Midi: University Putra Malaysia

Computational Statistics, 2016, vol. 31, issue 3, No 3, 859-877

Abstract: Abstract High leverage points have tremendous effect in linear regression analysis. When a group of high leverage points is present in a dataset, the existing detection methods fail to detect them correctly. This problem is due to the masking and swamping effects. We propose the Diagnostic Robust Generalized Potentials Based on Index Set Equality (DRGP(ISE)) in this regard. The DRGP(ISE) takes off from the Diagnostic Robust Generalized Potential Based on Minimum Volume Ellipsoid (DRGP(MVE)). However, the running time of ISE is much faster than MVE. Monte Carlo simulation study and numerical data indicate that DRGP(ISE) works excellently to detect the actual high leverage points and reduce masking and swamping effects in a linear model.

Keywords: High leverage points; Diagnostic robust generalized potentials; Index set equality; Masking; Swamping (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s00180-016-0662-6

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