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RegressionCommon`

RegressionCommon`

CovarianceMatrixDetRatio

As of Version 7.0, CovarianceMatrixDetRatio has been renamed to "CovarianceRatios" and has become a property of LinearModelFit.

CovarianceMatrixDetRatio

is a possible value for the RegressionReport option for Regress and DesignedRegress which represents the covariance determinant ratio diagnostic.

Details and Options

To use CovarianceMatrixDetRatio, you first need to load the Regression Common Functions Package. You can do this by using Needs["LinearRegression`"], which will automatically load the Regression Common Functions Package, or you can load the package directly by using Needs["RegressionCommon`"].
CovarianceMatrixDetRatio gives a list of values which measure the effect of removing a data point.
The i element in the list is the ratio of the determinant of CovarianceMatrix for all the data points to the equivalent determinant with the i data element removed.
A value less than 1-3 or greater than 1+3, where n is the number of data points and p is the number of parameters, may indicate a highly influential point.

Examples

Basic Examples (1)

Sample data:

CovarianceMatrixDetRatio for a linear regression:

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