Abstract
Abstract. Cook's likelihood displacement is a convenient measure of the impact of a model perturbation on parameter estimates. A commonly used model perturbation in regression is the deletion of a case, or equation. A natural model perturbation in the time series context is the deletion of an observation, or a group of observations. Diagnostics that measure the impact of individual observations on the time series estimates are explored in this paper. A diagnostic that compares the estimates of the innovation variance with and without a particular observation is studied in detail.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
