OUTLIER DIAGNOSTICS IN TIME SERIES ANALYSIS

Johannes Ledolter

Journal of Time Series Analysis, 1990, vol. 11, issue 4, 317-324

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.

Date: 1990
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