Skip to content

Local influence analysis for Poisson autoregression with an application to stock transaction data

9Citations
Citations of this article
3Readers
Mendeley users who have this article in their library.
Get full text

Abstract

In statistical diagnostics and sensitivity analysis, the local influence method plays an important role and has certain advantages over other methods in several situations. In this paper, we use this method to study time series of count data when employing a Poisson autoregressive model. We consider case-weights, scale, data, and additive perturbation schemes to obtain their corresponding vectors and matrices of derivatives for the measures of slope and normal curvatures. Based on the curvature diagnostics, we take a stepwise local influence approach to deal with data with possible masking effects. Finally, our established results are illustrated to be effective by analyzing a stock transactions data set.

Cite

CITATION STYLE

APA

Zhu, F., Liu, S., & Shi, L. (2016). Local influence analysis for Poisson autoregression with an application to stock transaction data. Statistica Neerlandica, 70(1), 4–25. https://doi.org/10.1111/stan.12071

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free