TY - JOUR
T1 - On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
AU - Liu, Shuangzhe
PY - 2004
Y1 - 2004
N2 - 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.
AB - 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.
KW - Likelihood displacement
KW - Matrices of derivatives
KW - Matrix differential
KW - Observed information matrix
KW - Statistical diagnostics
UR - http://www.scopus.com/inward/record.url?scp=33845777957&partnerID=8YFLogxK
U2 - 10.1239/jap/1082552214
DO - 10.1239/jap/1082552214
M3 - Article
SN - 0021-9002
VL - 41A
SP - 393
EP - 405
JO - Journal of Applied Probability
JF - Journal of Applied Probability
ER -