Journal article
OUTLIER DIAGNOSTICS IN TIME SERIES ANALYSIS
Journal of time series analysis, Vol.11(4), pp.317-324
First version received October 1988
07/1990
DOI: 10.1111/j.1467-9892.1990.tb00060.x
Abstract
Abstract. Cook's likelihood displacement is a convenient measure of the impact of a model perturbation on parameter estimates. A commonly used model perturbation in regression is the deletion of a case, or equation. A natural model perturbation in the time series context is the deletion of an observation, or a group of observations. Diagnostics that measure the impact of individual observations on the time series estimates are explored in this paper. A diagnostic that compares the estimates of the innovation variance with and without a particular observation is studied in detail. Copyright © 1990, Wiley Blackwell. All rights reserved
Details
- Title: Subtitle
- OUTLIER DIAGNOSTICS IN TIME SERIES ANALYSIS
- Creators
- Johannes Ledolter - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of time series analysis, Vol.11(4), pp.317-324
- Edition
- First version received October 1988
- Publisher
- Blackwell Publishing Ltd
- DOI
- 10.1111/j.1467-9892.1990.tb00060.x
- ISSN
- 0143-9782
- eISSN
- 1467-9892
- Number of pages
- 8
- Language
- English
- Date published
- 07/1990
- Academic Unit
- Statistics and Actuarial Science; Business Analytics
- Record Identifier
- 9984380409002771
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