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HatDiagonal

HatDiagonal
is a possible value for the RegressionReport option which represents the diagonal of the hat matrix.
  • HatDiagonal is used in diagnostics for influence of data points.
  • The hat matrix H is given by H=X.(X.X)-1X where X is the design matrix.
  • If y is the response vector, then H.y yields the predicted response vector.
Needs["LinearRegression`"]
Sample data:
In[2]:=
Click for copyable input
HatDiagonal for a linear regression:
In[3]:=
Click for copyable input
Out[3]=