Influence diagnostics in log-linear integer-valued GARCH models

DOI10.1007/s10182-014-0242-4zbMath1443.62296OpenAlexW1972233773MaRDI QIDQ1621988

Shuangzhe Liu, Fukang Zhu, Lei Shi

Publication date: 12 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-014-0242-4

zbMATH Keywords

perturbation schemelog-linear integer-valued GARCH modelsslope-based diagnosticsstepwise local influence analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diagnostics, and linear inference and regression (62J20)

Related Items (13)

Local influence analysis in general spatial models ⋮ Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model ⋮ A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation ⋮ Comparison of BINAR(1) models with bivariate negative binomial innovations and explanatory variables ⋮ Softplus INGARCH Model ⋮ Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence ⋮ Robust closed-form estimators for the integer-valued GARCH(1,1) model ⋮ Binomial AR(1) processes with innovational outliers ⋮ Doubly-inflated Poisson INGARCH models for count time series ⋮ Periodic negative binomial INGARCH(1, 1) model ⋮ Self-excited hysteretic negative binomial autoregression ⋮ A generalized mixture integer-valued GARCH model ⋮ Bayesian local influence for spatial autoregressive models with heteroscedasticity

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