Generalized Collinearity Diagnostics
广义共线性诊断
Working in the context of the linear model y = Xβ + ε, we generalize the concept of variance inflation as a measure of collinearity to a subset of parameters in β (denoted by β 1, with the associated columns of X given by X 1). The essential idea underlying this generalization is to examine the impact on the precision of estimation—in particular, the size of an ellipsoidal joint confidence region for β 1—of less-than-optimal selection of other columns of the design matrix (X…