Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Reference Value for Cook's Measure

  • Published : 1999.04.01
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Abstract

A single outlier can influence on the least squares estimators and can invalidate analysis based on these estimators. The Cook's statistic has been introduced to measure influence of individual data point on parameter estimation and the quantile of the F distribution is recommended as a reference value. but in practice subjective judgement is applied in the choice of appropriate quantile. A simple reference value is introduced in this paper which is developed by approximating conditional quantities of Cook's measure. The performance of the proposed criterion is evaluated through analysis of real data set.

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