Rao distance as a measure of influence in the multivariate linear model

M. D. Jimenez Gamero, J. M. Munoz Pichardo, J. Munoz Garcia and A. Pascual Acosta

Journal of Applied Statistics, 2002, vol. 29, issue 6, 841-854

Abstract: Several methods have been suggested to detect influential observations in the linear regression model and a number of them have been extended for the multivariate regression model. In this article we consider the multivariate general linear model, Y = XB + k , which contains the linear regression model and the multivariate regression model as particular cases. Assuming that the random disturbances are normally distributed, the BLUE of v B is also normally distributed. Since the distribution of the BLUE of v B and the distribution of the BLUE of v B in the model with the omission of a set of observations differ, to study the influence that a set of observations has on the BLUE of v B , we propose to measure the distance between both distributions. To do this we use Rao distance.

Date: 2002
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DOI: 10.1080/02664760220136177

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