Influence diagnostics in a vector autoregressive model
DOI10.1080/00949655.2014.967243zbMATH Open1457.62272OpenAlexW1968917105MaRDI QIDQ5220897FDOQ5220897
Authors: Guocheng Ji, Shuangzhe Liu, Yonghui 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
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Linear regression; mixed models (62J05) Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (17)
- Influential observations in cointegrated VAR models: Danish money demand 1973–2003
- A score test for detecting extreme values in a vector autoregressive model
- Influence diagnostics for multivariate GARCH processes
- Robust autoregressive modeling and its diagnostic analytics with a COVID-19 related application
- Diagnostic analysis for a vector autoregressive model under Student′s t‐distributions
- Asymmetric autoregressive models: statistical aspects and a financial application under COVID-19 pandemic
- Sensitivity analysis in linear models
- Influential observations in GARCH models
- A note on influence diagnostics in AR(1) time series models
- Influence diagnostics in possibly asymmetric circular-linear multivariate regression models
- Influence diagnostics in partially varying-coefficient models
- The diagnostics of \(m\) dimensional AR (1) models
- Influence diagnostics in mixed effects logistic regression models
- Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
- On a logistic regression model with random intercept: diagnostic analytics, simulation and biological application
- Influence diagnostics in log-linear integer-valued GARCH models
- Title not available (Why is that?)
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