Influential observations are often extreme with respect to their
response values or their associated predictors.
home_sales data
To facilitate our discussion we will use the home_sales
data set in the api2lm package, which contains
information about homes sold in King County, WA between May 2014 and May
2015. The data set is a data frame with 216 rows and 8 columns:
price: sale price (log10 units).bedrooms: number of bedrooms.bathrooms: number of bathrooms.sqft_living: size of living space.sqft_lot: size of property.floors: number of floors.waterfront: a factor variable with levels
"yes" and "no" that indicate whether a home as
a waterfront view.condition: a factor variable indicating the condition
of a house with levels ranging from "poor" to
"very good".
We load the data below.
data(home_sales, package = "api2lm")
The validity of the assumptions we want to check depend on the model
fit to the data.
We will regress the price variable on all of the
remaining variables in home_sales.
lmod <- lm(price ~ ., data = home_sales)
coef(lmod)
## (Intercept) bedrooms bathrooms sqft_living
## 5.377543e+00 2.604201e-03 3.149792e-02 9.987617e-05
## sqft_lot floors waterfrontyes conditionfair
## -8.773790e-07 8.630242e-02 3.152404e-01 -3.128967e-01
## conditionaverage conditiongood conditionvery_good
## -1.278938e-01 -9.122793e-02 -2.185523e-02
Outliers
We describe two common approaches for identifying outliers.
The simplest approach for identifying outliers is to use an index
plot of the studentized residuals to determine the observations with
extreme residuals.
- An index plot is a plot of a set of statistics versus their
observation number.
- We will create a scatter plot of the pairs \((i, t_i)\) for \(i=1,2,\ldots,n\).
The other approach is to compare the set of studentized residuals to
the appropriate quantile of a \(t_{n-p-1}\) distribution.
To evaluate whether a single observation is an outlier, we
compare its studentized residual to \(t^{\alpha/2}_{n-p-1}\), i.e., the \(1-\alpha/2\) quantile of a \(t\) distribution with \(n-p-1\) degrees of freedom.
- If \(|t_i| >
t^{\alpha/2}_{n-p-1}\), then observation \(i\) is an outlier.
- We won’t do this because we have more than one observation to
evaluate.
To identify the outliers from the \(n\) observations of our fitted model, we
should adjust the previous idea using the Bonferroni correction to
address the multiple comparisons problem.
- We conclude observation \(i\) is an
outlier if \(|t_i| >
t^{\alpha/2n}_{n-p-1}\).
Outlier example
The outlier_plot function is a convenient way to create
an index plot of the studentized residuals from a fitted model.
outlier_plot has four main arguments that we need to
know about:
model: the fitted model.id_n: the number of points to identify with
labels.add_reference: a logical value indicating whether the
Bonferroni-corrected \(t\) quantiles
(\(t^{1-\alpha/2n}_{n-p-1}\) and \(t^{\alpha/2n}_{n-p-1}\)) are added as
reference lines to the plot. The default is TRUE.alpha: the \(\alpha\)
value used for the \(t\) quantiles. The
default is 0.05.
We use the outlier_plot function to identify the 2 most
extreme outliers for our fitted model. Observations 214 and 33 have the
most extreme studentized residuals and observation 214 is more extreme
than the Bonferroni-adjusted \(t\)
quantile.
outlier_plot(lmod, id_n = 2)
The outlier_test function can be used to identify the
observations with studentized residuals more extreme than the
appropriate Bonferroni-corrected \(t\)
quantiles. The main arguments to the outlier_test function
are:
model: the fitted model.n: the number of outliers to return (by default, all of
them).alpha: the desired familywise error rate for the family
of \(n\) tests. The default is
alpha = 0.05.
Running outlier_test on a fitted model will return the
identified outliers and their Bonferroni-adjusted p-values
(adj_pvalue). If the adjusted p-value is less than
alpha, then the observation is declared an outlier.
We use outlier_test to see that observation 214 is an
outlier according to this test.
## stat pvalue adj_pvalue
## 214 -3.948387 5.414913e-05 0.01169621
Leverage Points
The leverage values are the diagonal elements of the
hat matrix \(\mathbf{H}=\mathbf{X}(\mathbf{X}^T
\mathbf{X})^{-1} \mathbf{X}^T\). The \(i\)th leverage value is given by \(h_i=\mathbf{H}_{i,i}\), the \(i\)th diagonal position of the hat
matrix.
We can extract the leverage values of a fitted model using the
hatvalues function.
An observation is declared to be a leverage point if its leverage
value is unusually large.
Kutner et al. (2005) suggest two different thresholds for identifying
a leverage point.
- Observation \(i\) is declared to be
an outlier if \(h_i > 2p/n\).
- This approach can be overly sensitive.
- Observation \(i\) is declared to be
an outlier if \(h_i > 0.5\).
Leverage example
We can create an index plot of the leverage values of a fitted model
using the leverage_plot function.
The leverage_plot function takes a few main
arguments:
model: the fitted model.id_n: the number of points to identify with
labels.ttype: the threshold type. The default is
"half", which uses a reference threshold of
0.5. Alternatively, we can choose "2mean",
which uses a reference threshold of \(2p/n\).
We use the leverage_plot function to identify leverage
points for the model fit to the home_sales data.
Observations 33 and 179 are leverage points with leverage values
greater than 0.5. Observation 214 has a leverage value nearly at 0.5, so
we should consider it a leverage point.
Influential Observations
An influential observation dramatically changes the
fitted model based on whether it is included or excluded from the
analysis.
We will now discuss several other measures of influence.
DFBETA and DFBETAS
The DFBETA measure of influence is an \(n\times p\) matrix of statistics that
measures the change in the estimated regression coefficients when we fit
the model using all \(n\) observations
versus when we fit the model leaving one observation out at a time.
The \(i\)th row of DFBETA is
\[
\text{DFBETA}_i = \hat{\boldsymbol{\beta}} -
\hat{\boldsymbol{\beta}}_{(i)}.
\]
- \(\hat{\boldsymbol{\beta}} =
[\hat{\beta}_0, \hat{\beta}_1, \ldots, \hat{\beta}_{p-1}]\) is
the vector of estimated regression coefficients when using all \(n\) observations.
- \(\hat{\boldsymbol{\beta}}_{(i)} =
[\hat{\beta}_{0(i)}, \hat{\beta}_{1(i)}, \ldots,
\hat{\beta}_{p-1(i)}]\) is the vector of estimated regression
coefficients obtained from the model fit using all \(n\) observations except the \(i\)th observation.
- \(\text{DFBETA}_{ij} = \hat{\beta}_j -
\hat{\beta}_{j(i)}\).
Identifying influential observations using the DFBETA matrix can be
difficult because the sampling variance associated with each coefficient
can be very different.
The DFBETAS matrix is a transformation of the DFBETA
matrix that has been scaled so that the individual statistics have
similar sampling variability.
DFBETAS is also an \(n\times p\)
matrix of statistics with the \(j\)th
element of the \(i\)th row being
defined as
\[\text{DFBETAS}_{i,j} =
\frac{\hat{\beta}_{j-1} -
\hat{\beta}_{j-1(i)}}{\hat{\mathrm{se}}(\hat{\beta}_{j-1})},\quad
i=1,2,\ldots,n, \quad j=0,1,\ldots,p-1.\]
A DFBETAS statistic less than -1 or greater than 1 is often used as
an indicator that the associated observation is influential in
determining the fitted model.
One way of identifying influential observations is to create index
plots the DFBETA or DFBETAs values for each regression coefficient and
determine the estimates that substantially change when observation \(i\) is excluded from analysis.
- We recommend using index plots of the DFFBETAS values instead of the
DFBETA values because the plots will have more similar scales and are
easier to work with.
The DFBETA and DFBETAS matrices can be obtained by using the
dfbeta and dfbetas functions,
respectively.
DFBETAS example
We can use the dfbetas_plot function to get index plots
of the DFBETAS statistics for each regression coefficient.
Some of the main arguments to the dfbetas_plot function
are:
model: the fitted model.id_n: the number of observations for which to print an
associated label.regressors: a formula indicating the regressors for
which we want to plot the DFBETAS statistics. By default, index plots
are created for all regressors.
Reference lines are automatically added at \(\pm 1\) to indicate observations whose
DFBETAS values are particularly extreme.
We plot the bedrooms, bathrooms,
sqft_living, and sqft_lot variables for the
fitted model of our home_sales data and label the two most
extreme observations.
dfbetas_plot(lmod, id_n = 2,
regressors = ~ bedrooms + bathrooms + sqft_living + sqft_lot)
We can see from these plots that:
- The estimated coefficient for
bedrooms changes by more
than 3 standard errors based on whether observation 179 is used in
fitting the model.
- The estimated coefficients for
sqft_living and
sqft_lot change by more than 1 standard error based on
whether observations 33 or 214 are used in fitting the model.
DFFITS
Welsch and Kuh (1977) proposed measuring an observation’s influence
through the DFFITS statistic, which is the difference between its fitted
value and its LOO predicted response value.
The DFFITS statistic for observations \(i\) defined as
\[\text{DFFITS}_i = \hat{Y}_i -
\hat{Y}_{i(i)}.\]
- A large difference between a fitted value and its associated LOO
predicted value provides evidence an observation is influential.
Belsley et al. (2005) suggest that observation \(i\) is influential if \(|\text{DFFITS}_i|>2\sqrt{p/n}\).
An index plot of the DFFITS statistics for all observations will
indicate the observations most influential in changing their associated
predicted value.
The DFFITS statistics for each observation can be obtained using the
dffits function.
DFFITS example
We can create an index plot of our DFFITS statistics using the
dffits_plot function.
Some of the main arguments to the dffits_plot function
are:
model: the fitted model.id_n: the number of observations for which to print an
associated label.
Horizontal reference lines are automatically added at \(\pm 2\sqrt{p/n}\) to identify influential
observations.
We create an index plot of the DFFITS statistics below. We identify
the observations with the 3 most extreme DFFITS statistics.
dffits_plot(lmod, id_n = 3)
We see that observations 33, 179, and 214 all have particularly
extreme DFFITS statistics. Several other observations have statistics
more extreme than \(\pm 1\) (run
dffits_test(lmod) for a complete list).
Cook’s Distance
Cook (1977) proposed the Cook’s distance to
summarize the potential influence of an observation with a single
statistic.
The Cook’s distance for the \(i\)th
observation is
\[D_i=\frac{\sum_{k=1}^n (Y_k -
\hat{Y}_{k(i)})^2}{p \widehat{\sigma}^2} = \frac{1}{p} r_i^2
\frac{h_i}{1-h_i}.\]
- \(\hat{Y}_{k(i)}\) is the predicted
response for observation \(k\) when
observation \(i\) is not included in
the analysis (this is a type of LOO prediction).
- The standardized residual for observation \(i\) is
\[
r_i = \frac{\hat{\epsilon}_i}{\widehat{\sigma}\sqrt{1-h_i}}.
\]
An index plot of the Cook’s distances can be used to identify
observations with unusually large Cook’s distances.
- Cook’s distance values can be obtained using the
cooks.distance function.
- Kutner et al. (2015) suggest declaring an observation to be
influential if its Cook’s distance is more than \(F^{0.5}_{p, n-p}\), i.e., the 0.5 quantile
of an \(F\) distribution with \(p\) numerator degrees of freedom and \(n-p\) denominator degrees of freedom.
Cook’s distance example
An index plot of the Cook’s distances can be created using the
cooks_plot function.
Some of the main arguments to the cooks_plot function
are:
model: the fitted model.id_n: the number of observations for which to print an
associated label.
A horizontal reference line is automatically added at \(F^{0.5}_{p,n-p}\) to identify influential
observations.
We create an index plot of the Cook’s distances below. We identify
the observations with the 3 most extreme Cook’s distances.
cooks_plot(lmod, id_n = 3)
We see that observations 33, 179, and 214 all have particularly
extreme Cook’s distances, indicating those observations are influential
in some sense. This is consistent with our previous results.
Influence plots
An influence plot is a scatter plot of the
studentized or standardized residuals versus the leverage values. The
size of each point in the plot is proportional to either its Cook’s
distance or DFFITS statistic.
In general, observations that are extreme with respect to their
residuals, leverage values, or Cook’s distance/DFFITS statistics are
more likely be be potentially influential.
Influence plot example
An influence plot can be created using the
influence_plot function from the api2lm
package.
Some of the main arguments to the influence_plot
function are:
model: the fitted model.rtype: the type of residual to plot on the y-axis. The
default is the studentized residuals.criterion: the criterion that controls the size of the
points. The default is the Cook’s distance.id_n: the number of observations for which to print an
associated label. The most extreme observations with respect to the
criterion are labeled.
We create in influence plot for the model fit to the
home_sales data below.
References
Belsley, D. A., Kuh, E., & Welsch, R. E. (2005). Regression
diagnostics: Identifying influential data and sources of collinearity.
John Wiley & Sons.
Cook, R. D. (1977). Detection of Influential Observation in Linear
Regression. Technometrics, 19(1), 15–18. https://doi.org/10.2307/1268249
Kutner, Michael H, Christopher J Nachtsheim, John Neter, and William
Li. 2005. Applied Linear Statistical Models, 5th Edition.
McGraw-Hill/Irwin, New York.
Welsch, R. E., & Kuh, E. (1977). Linear regression diagnostics
(No. w0173). National Bureau of Economic Research.
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