Rao distance as a measure of influence in the multivariate linear model

Abstract

Several methods have been suggested to detect influential observations in the linear regression model and a number of them have been extended for the multivariate regression model. In this article we consider the multivariate general linear model, Y = XB + k , which contains the linear regression model and the multivariate regression model as particular cases. Assuming that the random disturbances are normally distributed, the BLUE of v B is also normally distributed. Since the distribution of the BLUE of v B and the distribution of the BLUE of v B in the model with the omission of a set of observations differ, to study the influence that a set of observations has on the BLUE of v B , we propose to measure the distance between both distributions. To do this we use Rao distance.