Robust autoregressive modeling and its diagnostic analytics with a COVID-19 related application

Yonghui Liu, Jing Wang, Víctor Leiva, Alejandra Tapia, Wei Tan and Shuangzhe Liu

Journal of Applied Statistics, 2024, vol. 51, issue 7, 1318-1343

Abstract: Autoregressive models in time series are useful in various areas. In this article, we propose a skew-t autoregressive model. We estimate its parameters using the expectation-maximization (EM) method and develop the influence methodology based on local perturbations for its validation. We obtain the normal curvatures for four perturbation strategies to identify influential observations, and then to assess their performance through Monte Carlo simulations. An example of financial data analysis is presented to study daily log-returns for Brent crude futures and investigate possible impact by the COVID-19 pandemic.

Date: 2024
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DOI: 10.1080/02664763.2023.2198178

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