rrr.leverage: Leverage scores and Cook's distance in reduced-rank...

In rrpack: Reduced-Rank Regression

Leverage scores and Cook's distance in reduced-rank regression for model diagnostics

Description

Compute leverage scores and Cook's distance for model diagnostics in rrr estimation.

Usage

rrr.leverage(Y, X = NULL, nrank = 1, qr.tol = 1e-07)

Arguments

Y	a matrix of response (n by q)
X	a matrix of covariate (n by p)
nrank	an integer specifying the desired rank
qr.tol	tolerence to be passed to ‘qr’

Value

‘rrr.leverage’ returns a list containing a vector of leverages and a scalar of the degrees of freedom (sum of leverages). ‘rrr.cooks’ returns a list containing

residuals	resisuals matrix
mse	mean squared error
leverage	leverage
cookD	Cook's distance
df	degrees of freedom

References

Chen, K. Model diagnostics in reduced-rank estimation. Statistics and Its interface, 9, 469–484.

rrpack documentation built on June 16, 2022, 9:05 a.m.