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Plots And Testing For Multivariate Linear Regression, Lasanthi C. R Pelawa Watagoda
Plots And Testing For Multivariate Linear Regression, Lasanthi C. R Pelawa Watagoda
Research Papers
To use the multivariate linear regression model, tests of hypotheses are needed. This paper gives F approximations to the widely used Wilk, Pillai, and Hotelling Lawley test statistics, and gives plots to check goodness and lack of fit, to check for outliers and influential cases, and to check whether the error distribution is multivariate normal.
Robust Multivariate Regression, Hasthika S. Rupasinghe Arachchige Don
Robust Multivariate Regression, Hasthika S. Rupasinghe Arachchige Don
Research Papers
A robust multivariate linear regression estimator can be obtained by replacing the least squares estimator with the robust hbreg estimator. Then the robust multivariate linear regression estimator is asymptotically equivalent to the classical multivariate linear regression estimator since the probability that the robust estimator is equal to the classical estimator goes to one in probability as the sample size n tends to infinity for a large class of iid zero mean error distributions. This paper discusses the robust estimator and some tests using the robust estimator that are asymptotically equivalent to those using the classical estimator.