A score test for detecting extreme values in a vector autoregressive model
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Publication:6141447
DOI10.1080/00949655.2023.2205647MaRDI QIDQ6141447
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Publication date: 23 January 2024
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Monte Carlo simulationlocal influencemultivariate normal distributionscore statisticvector autoregressive modelcase-weight perturbation modelmean-shift perturbation model
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