Leverage scores and Cook's distance in reduced-rank regression for model diagnostics
Compute leverage scores and Cook's distance for model diagnostics
in rrr estimation.
rrr.leverage(Y, X = NULL, nrank = 1, qr.tol = 1e-07)
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’ |
‘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 |
Chen, K. Model diagnostics in reduced-rank estimation. Statistics and Its interface, 9, 469–484.
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