Consider a multiple linear regression model y = X3 + e (n xp) (P x 1) where n is the sample size, p=k+1 with k is the number of regressors and E(e)-0, V(e) o² In. 1 [Note] 3(6)=3-(XX)-¹, 1-h hi-x(X'X)-¹. The Cook's distance FOR I-th observation is defined by (3-3))'(X'X)(3-B) D₁ ps² Show that 22 ha D₁ P 1-h

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Consider a multiple linear regression model
y
=
XB +
(nx p) (p x 1)
€
(n x 1)
(n x 1)
where n is the sample size, p=k+1 with k is the number of regressors and
E(e)=0, V(e)=o² In.
1
[Note]
3(6)
3- (X'X)-¹
h₁ = x(X'X)-¹₁,
SV
The Cook's distance FOR I-th observation is defined by
D₁
(3B))'(X'X) (3 – ß())
ps²
Show that
2²2
ha
Di
p 1-ha
Transcribed Image Text:Consider a multiple linear regression model y = XB + (nx p) (p x 1) € (n x 1) (n x 1) where n is the sample size, p=k+1 with k is the number of regressors and E(e)=0, V(e)=o² In. 1 [Note] 3(6) 3- (X'X)-¹ h₁ = x(X'X)-¹₁, SV The Cook's distance FOR I-th observation is defined by D₁ (3B))'(X'X) (3 – ß()) ps² Show that 2²2 ha Di p 1-ha
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