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Regression Diagnostic under Model Misspecification
Li-Chu Chien1, Tsung-Shan Tsou2
1Division of Biostatistics and Bioinformatics, National Health Research Institutes, Taiwan.
Abstract:
We propose two novel diagnostic measures for the detection of influential observations for regression parameters in linear regression. Traditional diagnostic statistics focus on the effect of deletion of data points either on parameter estimates, or on predicted values. A data point is regarded as influential by the new methods if its inclusion determines a significantly different likelihood function for the parameter of interest. The concerned likelihood function is asymptotically valid for practically all underlying distributions whose second moments exist.
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