TY - JOUR
T1 - Local influence analysis for Poisson autoregression with an application to stock transaction data
AU - Zhu, Fukang
AU - LIU, Shuangzhe
AU - Shi, Lei
PY - 2016/2/1
Y1 - 2016/2/1
N2 - 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.
AB - 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.
KW - influential observation
KW - local influence
KW - Poisson
KW - Stepwise local influence
KW - Time series of counts
KW - Influential observation
KW - Local influence
KW - stepwise local influence
KW - time series of counts
UR - http://www.scopus.com/inward/record.url?scp=84955216576&partnerID=8YFLogxK
UR - http://www.mendeley.com/research/local-influence-analysis-poisson-autoregression-application-stock-transaction-data
U2 - 10.1111/stan.12071
DO - 10.1111/stan.12071
M3 - Article
SN - 0039-0402
VL - 70
SP - 4
EP - 25
JO - Statistica Neerlandica
JF - Statistica Neerlandica
IS - 1
ER -