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On the empirical influence function of the portmanteau statistic in AR(1) process. (English) Zbl 0861.62061

Summary: We study the effect on residual autocorrelations in the presence of atypical observations for the AR(1) process. Based on the empirical influence function of the portmanteau statistic, a measure of influence is derived. A confirmatory procedure coupling robust estimation with Monte Carlo tests is then formulated to assess the magnitude of the sample statistics. An example illustrates application of the methodology.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F35 Robustness and adaptive procedures (parametric inference)
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