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Research Report SRR02-003
Local influence in multivariate elliptical linear regression models
Shuangzhe Liu
Abstract:
Local influence is a method of sensitivity analysis for assessing the
influence of small perturbations in a general statistical model. In the
present
paper, this popular method is applied to multivariate elliptical linear
regression models. Several perturbation schemes, including perturbations in
case-weights, explanatory variables and response variables are considered.
The observed information matrix under the postulated model and Delta
matrices under the corresponding perturbed models are derived. An
assessment of local influence is made.
Primary AMS Classification: 62J05
Date: 3 May 2002
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