On diagnostics in conditionally heteroskedastic time series models under elliptical distributions

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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.

Original languageEnglish
Pages (from-to)393-405
Number of pages13
JournalJournal of Applied Probability
Volume41A
DOIs
Publication statusPublished - 1 Jan 2004
Externally publishedYes

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