Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/348084
Type: Artigo
Title: Influence diagnostics for linear models with first-order autoregressive elliptical errors
Author: Paula, Gilberto A.
Medeiros, Marcio
Vilca-Labra, Filidor E.
Abstract: We introduce in this paper the class of linear models with first-order autoregressive elliptical errors. The score functions and the Fisher information matrices are derived for the parameters of interest and an iterative process is proposed for the parameter estimation. Some robustness aspects of the maximum likelihood estimates are discussed. The normal curvatures of local influence are also derived for some usual perturbation schemes whereas diagnostic graphics to assess the sensitivity of the maximum likelihood estimates are proposed. The methodology is applied to analyse the daily log excess return on the Microsoft whose empirical distributions appear to have AR(1) and heavy-tailed errors
Subject: Modelos lineares (Estatística)
Country: Países Baixos
Editor: Elsevier
Rights: Fechado
Identifier DOI: 10.1016/j.spl.2008.08.017
Address: https://www.sciencedirect.com/science/article/pii/S0167715208004161
Date Issue: 2009
Appears in Collections:IMECC - Artigos e Outros Documentos

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