A Note on Cook's Distance in the Multivariate Linear Model Bae, Whasoo; Hwang, Hyunmi; Kim, Choongrak;
We propose a version of Cook's distance (called local distance) in the multivariate linear model. The proposed version is a matrix, while the existing version of Cook's distance (called global distance) is a scalar. The existing Cook's distance is the trace of the proposed Cook's distance. In addition, we argue that the proposed Cook's distance has a more natural extension of the Cook's distance in the univariate linear model than the existing Cook's distance. An illustrative example based on a real data set is given.
Global distance;influential observations;local distance;
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