Local influence analysis for Poisson autoregression with an application to stock transaction data

DOI10.1111/stan.12071MaRDI QIDQ6063608

Shuangzhe Liu, Lei Shi, Fukang Zhu

Publication date: 12 December 2023

Published in: Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

local influencetime series of countsPoissoninfluential observationstepwise local influence

Mathematics Subject Classification ID

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

Related Items (8)

Minimum density power divergence estimator for negative binomial integer-valued GARCH 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 ⋮ Binomial AR(1) processes with innovational outliers ⋮ Periodic negative binomial INGARCH(1, 1) model ⋮ Self-excited hysteretic negative binomial autoregression ⋮ A generalized mixture integer-valued GARCH model ⋮ Local influence diagnostics with forward search in regression analysis

Cites Work

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