Diagnostic analysis for a vector autoregressive model under Student's t-distributions

Yonghui Liu; Ruochen Sang; Shuangzhe Liu

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Diagnostic analysis for a vector autoregressive model under Student's t-distributions

机译：学生t分布下向量自回归模型的诊断分析

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摘要

In this paper, we use the local influence method to study a vector autoregressive model under Student's t-distributions. We present the maximum likelihood estimators and the information matrix. We establish the normal curvature diagnostics for the vector autoregressive model under three usual perturbation schemes for identifying possible influential observations. The effectiveness of the proposed diagnostics is examined by a simulation study, followed by our data analysis using the model to fit the weekly log returns of Chevron stock and the Standard & Poor's 500 Index as an application.

机译：在本文中，我们使用局部影响方法研究了学生t分布下的向量自回归模型。我们提出了最大似然估计量和信息矩阵。我们在三种常见的扰动方案下为矢量自回归模型建立正态曲率诊断，以识别可能的影响性观测值。通过模拟研究来检验所提出的诊断方法的有效性，然后使用该模型进行数据分析，以拟合雪佛龙股票的每周对数收益和应用标准普尔500指数。

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来源
《Statistica neerlandica》 |2017年第2期|86-114|共29页
作者
Yonghui Liu; Ruochen Sang; Shuangzhe Liu;
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作者单位

Shanghai University of International Business and Economics, Shanghai, China;

Shanghai University of Finance and Economics, Shanghai, China;

University of Canberra, Canberra, Australia;

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原文格式 PDF
正文语种 eng
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关键词
curvature; maximum likelihood estimator; perturbation scheme; Student's t-distribution; vector autoregressive model;

机译：曲率最大似然估计器;摄动方案;学生的t分布;向量自回归模型;

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1. Independent vector analysis with multivariate student's t-distribution source prior for speech separation [J] . Liang, Y., Chen, Electronics Letters . 2013,第16期

机译：语音分离之前具有多变量学生t分布源的独立矢量分析
2. On Modelling And Diagnostic Checking Of Vector Periodic Autoregressive Time Series Models [J] . Eugen Ursu, Pierre Duchesne Journal of Time Series Analysis . 2009,第1期

机译：向量周期自回归时间序列模型的建模和诊断检查
3. Influence diagnostics in a vector autoregressive model [J] . Liu Yonghui, Ji Guocheng, Liu Shuangzhe Journal of statistical computation and simulation . 2015,第13a15期

机译：向量自回归模型中的影响诊断
4. Model performance between linear vector autoregressive and Markov switching vector autoregressive models on modelling structural change in time series data [C] . Phoong Seuk Wai, Sek Siok Kun, Mohd Tahir Ismail, 2015 International Symposium on Mathematical Sciences and Computing Research . 2015

机译：线性向量自回归模型与马尔可夫切换向量自回归模型之间的模型性能，对时间序列数据的结构变化建模
5. Two essays on time series econometrics: Multiple time series analysis of the Asian crisis and estimation and inference of the nonstationary structural vector autoregressive model. [D] . Wang, Siyan. 2001

机译：关于时间序列计量经济学的两篇文章：亚洲危机的多个时间序列分析以及非平稳结构向量自回归模型的估计和推断。
6. Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student’s t-distribution [O] . William L. Leão, Carlos A. Abanto-Valle, Ming-Hui Chen -1

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7. METHODICAL ASPECTS OF GENERALIZED DIAGNOSTICS METHODS IN VECTOR AUTOREGRESSIVE MODELS [O] . L.O. Babeshko 2020

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8. Maximum Likelihood Estimation of the Autoregressive Coefficients and Moving Average Covariances of Vector Autoregressive Moving Average Models. [R] . Ahrabi, F. 1979

机译：向量自回归滑动平均模型的自回归系数和移动平均协方差的极大似然估计。

Diagnostic analysis for a vector autoregressive model under Student's t-distributions

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