Influence diagnostics in the capital asset pricing model under elliptical distributions

DOI10.1080/02664760701775712OpenAlexW1985476558MaRDI QIDQ5123380

Filidor Vilca, Manuel Galea, José A. Díaz-García

Publication date: 28 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760701775712

zbMATH Keywords

elliptical distributionslocal influencediagnosticsrobust estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model, Influence diagnostics in Gaussian spatial linear models, Influence diagnostic analysis in the possibly heteroskedastic linear model with exact restrictions, Spatial variability in slash linear modeling with finite second moment, Tail conditional moment for generalized skew-elliptical distributions

Cites Work

• On influence diagnostic in univariate elliptical linear regression models
• Influence Diagnostics for Simultaneous Equations Models
• Local Influence in Comparative Calibration Models
• Local Influence in Linear Mixed Models
• Assessing Influence in Regression Analysis with Censored Data
• Influence Diagnostics for Elliptical Multivariate Linear Regression Models
• Linear mixed models for longitudinal data
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