ASSESSMENT OF INFLUENCE OF INDIVIDUAL OBSERVATIONS ON PREDICTION MEAN SQUARE ERRORS IN VARIABLE SELECTION PROBLEMS

Hidekazu Takeuchi

doi:10.14490/jjss.32.43

Articles

ASSESSMENT OF INFLUENCE OF INDIVIDUAL OBSERVATIONS ON PREDICTION MEAN SQUARE ERRORS IN VARIABLE SELECTION PROBLEMS

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Keywords: Cook’s distance, influence measure, influential observation, Mallows’ C_P statistic, regression diagnostics, sensitivity analysis

JOURNAL FREE ACCESS

2002 Volume 32 Issue 1 Pages 43-55

DOI https://doi.org/10.14490/jjss.32.43

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Abstract

A new influence measure is proposed to assess the influence of individual observations on prediction mean square errors (PMSE) in variable selection problems. It is based on the estimated PMSE which consists of Cook’s distance and Mallows’ C_P statistic. Another interpretation of Cook’s distance is also given through the expression of the new influence measure. Illustrative examples show the effectiveness of the new influence measure.

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