A note on influence diagnostics in AR(1) time series models
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Publication:453021
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
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
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- 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
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