Local influence analysis for Poisson autoregression with an application to stock transaction data. (25th May 2015)

• Record Type: Journal Article
• Authors: Zhu, Fukang; Liu, Shuangzhe; Shi, Lei
• Is Part Of: Statistica Neerlandica. Volume 70:Number 1(2016:Feb.)
• Page Start: 4
• Page End: 25
• Publication Date: 2015-05-25
• Subjects: influential observation -- local influence -- Poisson -- stepwise local influence -- time series of counts; Statistics -- Periodicals; 519.5; 314.92
• DOI: 10.1111/stan.12071
• Languages: English
• ISSNs: 0039-0402

Abstract

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.