Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence

DOI10.1016/j.jkss.2016.05.002zbMath1349.62404OpenAlexW2466197699MaRDI QIDQ334843

Hong-Xia Hao, Xing-Fang Huang, Hong-Xia Wang, Jin-Guan Lin

Publication date: 1 November 2016

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2016.05.002

zbMATH Keywords

Kullback-Leibler divergenceGARCH modelsBayesian case influence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Diagnostics, and linear inference and regression (62J20)

Related Items (1)

Bayesian influence diagnostics using normalized functional Bregman divergence

Cites Work

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• Bayesian analysis of outlier problems using divergence measures
• Influence diagnostics in a vector autoregressive model
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Bayesian inference on GARCH models using the Gibbs sampler

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