文章基本信息

标题：Slope influence diagnostics in conditional heteroscedastic time series models
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作者：Mauricio Zevallos ; Luiz Koodi Hotta
期刊名称：Brazilian Journal of Probability and Statistics
印刷版ISSN：0103-0752
出版年度：2015
卷号：29
期号：1
页码：34-52
DOI：10.1214/13-BJPS227
语种：English
出版社：Brazilian Statistical Association
摘要：In this paper, we provide useful and simple expressions for slope influence diagnostics of several conditional heteroscedastic time series models under innovative model perturbations. These expressions are obtained by establishing a connection between the local influence and residual diagnostics. Monte Carlo experiments provided good results in terms of the size and power of the proposed statistics. To illustrate the results, we analyze the financial time series returns of the S&P500 and DJIA indexes.