Distribution of an arbitrary linear transformation of internally Studentized residuals of multivariate regression with elliptical errors

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• 作者：Seppo Pynnö ; nen ^sjp@uwasa.fi
• 关键词：62H10 ; 62H11 ; 62J05 ; 62J20
• 刊名：Journal of Multivariate Analysis
• 出版年：2012
• 期刊代码：77_0047259x
• 类别：mt
• 出版时间：May, 2012
• 卷：107
• 期：Complete
• 页码：40-52
• 文件大小：289 K

摘要

This paper derives the matrix-variate distribution of an arbitrary non-singular linear transformation of Studentized multivariate observations. The joint distributions of the major commonly utilized Studentized versions of (multivariate) regression residuals are obtained as special cases of the matrix-variate distribution introduced in the paper. As applications, the paper discusses testing for outliers, omitted variables, and general linear hypothesis in terms of Studentized linear combinations of residuals.