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lec3bw Washington STAT 560
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  • Title: lec3bw
  • Type: Notes
  • School: Washington
  • Course: STAT 560
  • Term: Fall

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1 CSSS 560 Lecture 3: Review of the Linear Regression Model (Part II) Kevin Quinn University of Washington 2 Outline Residual Diagnostics Leverage and In uence Example 3 Residual Diagnostics In deriving the sampling properties of the OLS estimator we ve assumed: E[ |X] = 0 Cov[ i, j ] = 0 for all i = j N (0, 2I) Seems like an obvious way to check these assumptions is to use the estimated residuals: = y X 4 Complications: i not independent of j by construction (residuals sum to 0 if a constant is included) variance of i not equal to j by construction has been chosen so that is as possible to a N (0, 2I) random variable 5 Standardization helps to solve non-constant variance Robust regression methods help to solve the last complication 6 Standardized Residuals In order to standardize the residuals we need to calculate their variance After some algebra Var[ ] = 2(I H) where H = X(X X) 1X is the so-called hat matrix 7 Variance of an individual residual: Var[ i] = 2(1 hii) where hii is the ith main diagonal element of H 8 The standardized residual is de ned as i i = 1 hii standardized residuals will have approximately unit variance 9 Studentized residuals are another option The ith studentized residual is de ned as: i = yi y(i) var(yi y(i)) where y(i) = xi (i) and (i) is the vector of beta estimates obtained after deleting the ith row of y and X 10 It turns out that studentized residuals can also be calculated directly from standardized residuals: i = i n k i2 n k 1 Once we ve calculated either standardized or studentized residuals we can check for violations of model assumptions QQ Plots Plot residuals against y and the independent variables 11 Leverage and In uence Leverage can be de ned as the distance from the center of the X data Exactly what distance and center mean are up to us to some extent In uence is the extent to which the estimates are determined by a particular observation 12 Leverage How do we calculate distance in k-dimensioonal space? In 1-dimensional space the distance between two points x and y is |x y| In 2-dimensional space we can use the Pythagorean theorem together with our knowledge of calculating distance in 1-dimensional space to calculate the distance between two point x and y as |x1 y1|2 + |x2 y2|2 13 This can be written in vector form as: (x y) (x y) We can also write the Euclidean distance between two points x and yin k-dimensional space as: x y = (x y) (x y) 14 Euclidean distance weighs all directions equally What if the variables are correlated or have di erent variances? mahalanobis distance is one attempt to deal with these issues 15 mahalanobis distance is de ned as: M Di = (xi x) 1(xi x) where x is the mean of X and 1 is the inverse variance-covariance matrix of X mahalanobis distance weights the distance of a data point xi from its mean x such that observations that are on the same multivariate normal density contour will have the same distance Typically x and 1 are replaced with their sample 16 estimates 17 Another, related, concept of multivariate distance and hence leverage is the hat matrix H = X(X X) 1X In particular, the ith main diagonal entry of H provides a measure of how far observation i is from the center of the X data hii is directly related to mahalanobis distance : 2 M Di 1 hii = + n 1 n Average value of hii is always k/n 18 hii greater than 2-3 times k/n indicates observation i could well be a high leverage point 19 Masking hii like M Di depends on the sample mean and sample covariance matrix of the X variables As such hii and M Di are not robust to outliers If the data have numerous severe outliers these outliers may distort the sample mean and covariance and hence true high leverage points may not appear to be high leverage points 20 This is known as the masking problem 21 Rousseeuw and van Zomeren s Solution Rousseeuw and van Zomeren in a 1990 JASA article propose the following solution to the masking problem Calculate robust estimates of multivariate location and scale Use these in place of the sample mean and covariance matrix in the calculation of mahalanobis distance , resulting in a robust measure of multivariate distance 22 Good Leverage and Bad Leverage A high leverage observation i is bad if the relationship between xi and yi is not the same as in the bulk of the data A high leverage observation i is good if the relationship between xi and yi is the same as in the bulk of the data 23 Cook s D as a Measure of In uence Cook s D is de ned as: ( (i) ) (X X)( (i) ) Di = k 2 where (i) is the vector of OLS estimates obtained after deleting row i of the dataset Note that this is essentially the mahalanobis distance between (i) and 24 Di greater than somewhere between 0.5 and 0.8 indicates that observation i has high in uence

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Path: Washington >> STAT >> 560 Fall, 2008

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