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Local influence analysis for Poisson autoregression with an application to stock transaction data
Author(s) -
Zhu Fukang,
Liu Shuangzhe,
Shi Lei
Publication year - 2016
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/stan.12071
Subject(s) - poisson distribution , autoregressive model , curvature , mathematics , econometrics , data set , computer science , algorithm , statistics , geometry
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.