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

作者：Liu, Yonghui; Sang, Ruochen; Liu, Shuangzhe^*

来源：Statistica Neerlandica, 2017, 71(2): 86-114.

DOI：10.1111/stan.12102

• curvature
• maximum likelihood estimator
• perturbation scheme
• Student's t-distribution
• vector autoregressive model

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.

• 出版日期2017-5
• 单位对外经济贸易大学; 上海财经大学