[R] influence.measures(stats): hatvalues(model, ...)

Sigmund Freud
Sun, 08 Nov 2009 07:14:37 -0000

Hello:

I am trying to understand the method 'hatvalues(...)', which returns
something similar to the diagonals of the plain vanilla hat matrix
[X(X'X)^(-1)X'], but not quite.

A Fortran programmer I am not, but tracing through the code it looks like
perhaps some sort of correction based on the notion of 'leave-one-out'
variance is being applied.

Whatever the difference, in simulations 'hatvalues' appears to perform
much better in the context of identifying outiers using Cook's Distance than
the diagonals of the plain vanilla hat matrix. (As in
http://en.wikipedia.org/wiki/Cook's_distance).

Would prefer to understand a little more when using this method. I have
downloaded the freely available references cited in the help and am in the
process of digesting them. If someone with knowledge could offer a pointer on
the most efficient way to get at why 'hatvalues' does what it does, that
would be great.

Thanks,
Jean Yarrington
Independent consultant.




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