Distribution of an arbitrary linear transformation of internally Studentized residuals of multivariate regression with elliptical errors
AbstractThis paper derives the matrix-variate distribution of an arbitrary non-singular linear transformation of Studentized multivariate observations. The joint distributions of the major commonly utilized Studentized versions of (multivariate) regression residuals are obtained as special cases of the matrix-variate distribution introduced in the paper. As applications, the paper discusses testing for outliers, omitted variables, and general linear hypothesis in terms of Studentized linear combinations of residuals.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 107 (2012)
Issue (Month): C ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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