A note on influence diagnostics in AR(1) time series models

DOI10.1016/j.jspi.2012.05.004zbMath1335.62148OpenAlexW1974740741MaRDI QIDQ453021

J. Herrera, D. Rodríguez-Gómez

Publication date: 18 September 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.05.004

zbMATH Keywords

outlierscurvaturelocal influenceslope

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics (62P99) Diagnostics, and linear inference and regression (62J20)

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Cites Work

• Forecasting the term structure of government bond yields
• Slope influence diagnostics in conditional heteroscedastic time series models
• Influence diagnostics for linear models with first-order autoregressive elliptical errors
• Assessing local influence in linear regression models with first-order autoregressive or heteroscedastic error structure
• Perturbation selection and influence measures in local influence analysis
• Influence diagnostics for multivariate GARCH processes
• Diagnostics for Mixed-Model Analysis of Variance
• Diagnostics for Autocorrelated Regression Models
• Local influence: a new approach
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
• Assessment of Local Influence in GARCH Processes
• Influential observations in GARCH models
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