Studies on Covariance Selection Models : Stepwise Procedure and Local Influence

Analysis of covariance selection models is a useful multivariate method to analyze the covariance structure of a multivariate normal distribution. It is used to reveal cause-and-effect relationships. In the present paper we review the theory and study numerically how the stepwise procedure of covariance selection works in actual data analysis. Then we try to develop a method of influence analysis in covariance selection, and show a numerical example to illustrate the usefulness of the method of influence analysis.