A CONDITIONAL COOK'S DISTANCE TO ASSESS INFLUENCE IN AUTOREGRESSIVE MODELS

DOI10.1081/STA-100104750zbMATH Open1008.62643MaRDI QIDQ4540663FDOQ4540663

Authors: Hua Lin, Andy H. Lee 

Publication date: 28 July 2002

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Recommendations

• Cook's distance in linear longitudinal models
• The diagnostics of \(m\) dimensional AR (1) models
• Exact distribution of Cook's distance and identification of influential observations
• A note on influence diagnostics in AR(1) time series models
• OUTLIER DIAGNOSTICS IN TIME SERIES ANALYSIS

Mathematics Subject Classification ID

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

Cites Work

• Detection of Influential Observation in Linear Regression
• Title not available (Why is that?)
• Outlier Detection and Time Series Modeling
• Assessing the predictive influence of cases in a state space process
• The distribution of cook's d statistic
• Outliers detection in time series
• OUTLIER DIAGNOSTICS IN TIME SERIES ANALYSIS

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