ASSESSING INFLUENCE IN TIME-SERIES

被引：1
|
作者：
VANHUI, Y
LEE, AH
机构：
[1] UNIV NEW S WALES,DEPT STAT,KENSINGTON,NSW 2033,AUSTRALIA
[2] NO TERR UNIV,FAC SCI,CASUARINA,NT 0811,AUSTRALIA
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1992年 / 21卷 / 12期
关键词：
INFLUENTIAL OBSERVATIONS; TIME SERIES; SPECTRAL ANALYSIS;
D O I：
10.1080/03610929208830989
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper studies influential observations on the spectrum of a stationary stochastic process. We introduce a leave-one-out procedure in spectral density estimation to identify influential points. A simulated envelope is proposed to assess the magnitude of influence when the data follow an autoregressive integrated moving average model. Practical illustrations are discussed in two examples.
引用
收藏
页码：3463 / 3478
页数：16
相关论文
共 50 条
  • [1] INFLUENCE FUNCTIONALS FOR TIME-SERIES - REPLY
    MARTIN, RD
    YOHAI, VJ
    [J]. ANNALS OF STATISTICS, 1986, 14 (03): : 840 - 855
  • [2] INFLUENCE FUNCTIONALS FOR TIME-SERIES - DISCUSSION
    FRANKE, J
    HANNAN, EJ
    [J]. ANNALS OF STATISTICS, 1986, 14 (03): : 822 - 824
  • [3] Assessing persistence in discrete nonstationary time-series models
    McCabe, BPM
    Martin, GM
    Tremayne, AR
    [J]. JOURNAL OF TIME SERIES ANALYSIS, 2005, 26 (02) : 305 - 317
  • [4] Nonlinear Time-series Mining of Social Influence
    Thinh Minh Do
    Matsubara, Yasuko
    Sakurai, Yasushi
    [J]. BIG DATA APPLICATIONS AND SERVICES 2017, 2019, 770 : 151 - 174
  • [5] Analyzing Parameter Influence on Time-Series Segmentation and Labeling
    Roehlig, Martin
    Luboschik, Martin
    Schumann, Heidrun
    Boegl, Markus
    Alsallakh, Bilal
    Miksch, Silvia
    [J]. 2014 IEEE CONFERENCE ON VISUAL ANALYTICS SCIENCE AND TECHNOLOGY (VAST), 2014, : 269 - 270
  • [6] Assessing covariate-dependent contaminant time-series in the marine environment
    Fryer, RJ
    Nicholson, MD
    [J]. ICES JOURNAL OF MARINE SCIENCE, 2002, 59 (01) : 1 - 14
  • [7] Assessing vaccine effectiveness for varicella in Wuxi, China: a time-series analysis
    Wang, Lingling
    Yang, Xu
    Wang, Xuwen
    Shi, Ping
    Zhang, Xuhui
    [J]. ANNALS OF MEDICINE, 2023, 55 (02)
  • [8] A time-series model for assessing instantaneous physical conditions in carp habitats
    Li, J.
    Xia, Z.
    Wang, Y.
    [J]. ECOHYDROLOGY, 2013, 6 (03) : 393 - 401
  • [9] ASSESSING THE ACCURACY OF TIME-SERIES MODEL FORECASTS OF COUNT OBSERVATIONS - COMMENT
    WECKER, WE
    [J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1989, 7 (04) : 418 - 419
  • [10] A comparison of several time-series models for assessing the value at risk of shares
    Zucchini, W
    Neumann, K
    [J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2001, 17 (01) : 135 - 148
12345