ON THE MEASURES OF MULTICOLLINEARITY IN LEAST-SQUARES REGRESSION

被引：8
|
作者：
WANG, SG
TSE, SK
CHOW, SC
机构：
[1] UNIV NEW HAMPSHIRE, DEPT MATH, DURHAM, NH 03824 USA
[2] BRISTOL MYERS SQUIBB CO, DEPT BIOSTAT, EVANSVILLE, IN 47721 USA
来源：
STATISTICS & PROBABILITY LETTERS | 1990年 / 9卷 / 04期
关键词：
condition number; data augmentation; generalized least squares; Multicollinearity; regression diagnostic;
D O I：
10.1016/0167-7152(90)90145-W
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
For a general regression model y = Xβ + e, E(e) = 0, Cov(e) = σ2V-1, some results on the relationship between two measures of multicollinearity, the eigenvalues and the condition numbers of X′X and X′VX, are obtained. These results are useful in examining the effects of augmentation of data on multicollinearity and the influence of an observation on the condition number of X′X in regression diagnostics. © 1990.
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页码：347 / 355
页数：9
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