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| 影響診断（Cook距離、DFFITS、レバレッジ）× | ロバスト共分散推定 (MCD)× | |
|---|---|---|
| 分野 | 統計学 | 統計学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1977 | 1999 |
| 提唱者≠ | R. Dennis Cook (Cook's distance); Belsley, Kuh & Welsch (DFFITS, leverage) | Rousseeuw; Rousseeuw & Van Driessen (Fast-MCD) |
| 種類≠ | Regression diagnostic | Robust multivariate location-scatter estimator |
| 原典≠ | Cook, R. D. (1977). Detection of Influential Observations in Linear Regression. Technometrics, 19(1), 15-18. DOI ↗ | Rousseeuw, P. J. & Van Driessen, K. (1999). A Fast Algorithm for the Minimum Covariance Determinant Estimator. Technometrics, 41(3), 212-223. DOI ↗ |
| 別名≠ | Cook's distance, DFFITS, leverage, influential observation detection | minimum covariance determinant, MCD estimator, robust covariance estimation, Robust Kovaryans Tahmini (MCD) |
| 関連≠ | 5 | 4 |
| 概要≠ | Influence diagnostics are a family of post-fit measures that quantify how much each single observation affects a fitted regression. Cook's distance was introduced by R. Dennis Cook in 1977, with leverage and DFFITS formalised by Belsley, Kuh and Welsch in 1980, to flag the observations that most strongly pull the estimated coefficients. | Robust Covariance via the Minimum Covariance Determinant (MCD) estimates a multivariate mean vector and covariance matrix that are not distorted by outliers. It was made practical by the Fast-MCD algorithm of Rousseeuw and Van Driessen (1999), building on Rousseeuw's earlier work on robust estimation. |
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