Influence diagnostics in log-linear integer-valued GARCH models
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Publication:1621988
DOI10.1007/s10182-014-0242-4zbMath1443.62296MaRDI QIDQ1621988
Shuangzhe Liu, Lei Shi, Fukang Zhu
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
perturbation scheme; log-linear integer-valued GARCH models; slope-based diagnostics; stepwise local influence analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J20: Diagnostics, and linear inference and regression