Influence diagnostics in log-linear integer-valued GARCH models. (English) Zbl 1443.62296
Summary: Integer-valued generalized autoregressive conditional heteroscedasticity (GARCH) models have played an important role in time series analysis of count data. To model negatively autocorrelated time series and to accommodate covariates without restrictions, the log-linear integer-valued GARCH model has recently been proposed as an alternative to the existing models. In this paper, we study a local influence diagnostic analysis in the log-linear integer-valued GARCH models. The slope-based diagnostic and stepwise curvature-based diagnostics in a framework of the modified likelihood displacement are proposed. Under five perturbation schemes the corresponding local influence measures are derived. Two simulated data sets and a real-world example are analyzed to illustrate our method. In addition, the fitted model for this example has a negative coefficient for one of the two covariates, which is particularly illustrative of the extra flexibility of the considered model.
MSC:
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 62J20 | Diagnostics, and linear inference and regression |
Keywords:
log-linear integer-valued GARCH models; slope-based diagnostics; stepwise local influence analysis; perturbation schemeReferences:
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