Influence diagnostics in a vector autoregressive model
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Publication:5220897
DOI10.1080/00949655.2014.967243zbMath1457.62272OpenAlexW1968917105MaRDI QIDQ5220897
Guocheng Ji, Shuangzhe Liu, Yong Hui Liu
Publication date: 27 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2014.967243
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diagnostics, and linear inference and regression (62J20)
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