Diagnostics for a Linear Model with First-Order Autoregressive Symmetrical Errors

作者：Zhu, Xiao-Xin^*; Zhu, Bin; Cao, Chun-Zheng

来源：Communications in Statistics - Theory and Methods, 2013, 42(13): 2335-2350.

DOI：10.1080/03610926.2011.599000

• AR(1) errors
• Diagnostics
• Linear model
• Local influence
• Score test
• Symmetrical distributions

In this article, we focus on some diagnostics for linear regression model with first-order autoregressive and symmetrical errors. The symmetrical class includes both light- and heavy-tailed univariate symmetrical distributions, which offers a more flexible framework for modeling. Maximum likelihood estimates are computed via the Fisher-score method. Score statistic and its adjustment are proposed for testing autocorrelation of the random errors. Local influence diagnostics are also derived for the model under some usual perturbation schemes. The performances of the test statistics are investigated through Monte Carlo simulations. Finally, a real data set is used to illustrate our diagnostic methods.

• 出版日期2013-7-3
• 单位南京信息工程大学