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w_i
2005 Feb 11
1
cook's distance in weighted regression
...k's distance in weighted linear
regression.
In
this case cook's distance should be given not as in OLS case by
h_ii*r_i^2/(1-hii)^2 divided by k*s^2 (1)
(where r is plain unadjusted residual, k is number of parameters in model,
etc. )
but rather by
w_ii*h_ii*r_i^2/(1-hii)^2 divided by k*s^2, (2)
i.e. has the weight in there. Apart from the division this is sum of
weighted squares of differences
yhat_j - yhat_j[i]. (That is, it is the weighted sum of squares of fits
minus fits with ith point deleted.)
However, a littl...