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Provide Cook-type deletion diagnostic #3

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mnarayan opened this issue Apr 3, 2018 · 0 comments
Open

Provide Cook-type deletion diagnostic #3

mnarayan opened this issue Apr 3, 2018 · 0 comments

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@mnarayan
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mnarayan commented Apr 3, 2018

Add reference for the application of Cook's D to the covariance matrix is

Poon, Wai-Yin, and Yuen-Kwan Wong. "A forward search procedure for identifying influential observations in the estimation of a covariance matrix." Structural Equation Modeling 11.3 (2004): 357-374.

This procedure can be used to provide an empirical influence function for any estimator. Thus add options structure that makes this a general diagnostic for any estimator provided by options.covariancefun

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