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Outliers in Multivariate Regression Models


  • Srivastava, Muni S.
  • von Rosen, Dietrich


Likelihood ratio tests for detecting a single outlier in multivariate linear models are considered, where an observation is called an outlier if there has been a shift in the mean. The test statistics are the maximum of n nonindependent statistics, where n is the number of observations. Relevant distributions to use upper and lower Bonferroni's inequalities are given.

Suggested Citation

  • Srivastava, Muni S. & von Rosen, Dietrich, 1998. "Outliers in Multivariate Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 65(2), pages 195-208, May.
  • Handle: RePEc:eee:jmvana:v:65:y:1998:i:2:p:195-208

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    References listed on IDEAS

    1. Minoru Siotani, 1959. "The extreme value of the generalized distances of the individual points in the multivariate normal sample," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 10(3), pages 183-208, September.
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