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On diagnostics in conditionally heteroskedastic time series models under elliptical distributions

Part of: Linear inference, regression

Published online by Cambridge University Press:  14 July 2016

Shuangzhe Liu
Shuangzhe Liu*
Affiliation:
Mathematical Sciences Institute, Australian National University, Canberra ACT 0200, Australia. Email address: [email protected]
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Abstract

In statistical diagnostics and sensitivity analysis, the local influence method plays an important rôle. In the present paper, we use this method to study financial time series data and conditionally heteroskedastic models under elliptical distributions. We start with a likelihood displacement, and consider data- and model-perturbation schemes. We obtain corresponding matrices of derivatives, and measures of slope and normal curvature, and then discuss the assessment of local influence.

Keywords

Statistical diagnosticslikelihood displacementobserved information matrixmatrices of derivativesmatrix differential

MSC classification

Primary: 62J05: Linear regression
Type
Part 7. Time series analysis
Information
Journal of Applied Probability , Volume 41 , Issue A: Stochastic Methods and their Applications , 2004 , pp. 393 - 405
Copyright
Copyright © Applied Probability Trust 2004 

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