Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/76496
Type: Artigo de periódico
Title: A note on influence diagnostics in AR(1) time series models
Author: Zevallos, M
Santos, B
Hotta, LK
Abstract: The purpose of this paper is to develop influence diagnostics for AR(1) models under the innovative and the data perturbation schemes. There are four main contributions. First, we derive analytical expressions for the slope and curvature statistics. Second, we establish a relationship between the slope and curvature showing that the standardised slope and standardised curvature are equal for the innovative perturbation scheme, and these vectors are nearly identical for several values of the autoregressive parameter, for the data perturbation scheme. Third, we present a connection between the influence statistics and the tests for outlier detection. Fourth, for the innovative perturbation scheme, we derive the asymptotic distribution of a new influence statistic, whereas for the data perturbation scheme, the distribution of the influence statistics is obtained via Monte Carlo simulation. We additionally discuss practical guidelines for the use of local influence statistics, which are illustrated on a chemical process data set. (C) 2012 Elsevier B.V. All rights reserved.
Subject: Slope
Curvature
Local influence
Outliers
Country: Holanda
Editor: Elsevier Science Bv
Rights: fechado
Identifier DOI: 10.1016/j.jspi.2012.05.004
Date Issue: 2012
Appears in Collections:Unicamp - Artigos e Outros Documentos

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