Skip navigation
Skip navigation

On diagnostics in conditionally heteroskedastic time series models under elloptical distributions

Liu, Shuangzhe

Description

In statistical diagnostics and sensitivity analysis, the local influence method plays an important role. In the present paper, we use this method to study financial time series data and conditionally heteroskedastic models under elliptical distributions.

dc.contributor.authorLiu, Shuangzhe
dc.date.accessioned2015-12-13T22:42:05Z
dc.date.available2015-12-13T22:42:05Z
dc.identifier.issn0021-9002
dc.identifier.urihttp://hdl.handle.net/1885/78808
dc.description.abstractIn statistical diagnostics and sensitivity analysis, the local influence method plays an important role. In the present paper, we use this method to study financial time series data and conditionally heteroskedastic models under elliptical distributions.
dc.publisherApplied Probability Trust
dc.sourceJournal of Applied Probability
dc.subjectKeywords: Likelihood displacement; Matrices of derivatives; Matrix differential; Observed information matrix; Statistical diagnostics
dc.titleOn diagnostics in conditionally heteroskedastic time series models under elloptical distributions
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume41A
dc.date.issued2004
local.identifier.absfor010399 - Numerical and Computational Mathematics not elsewhere classified
local.identifier.ariespublicationMigratedxPub7381
local.type.statusPublished Version
local.contributor.affiliationLiu, Shuangzhe, College of Physical and Mathematical Sciences, ANU
local.bibliographicCitation.issueSpecial
local.bibliographicCitation.startpage393
local.bibliographicCitation.lastpage405
dc.date.updated2015-12-11T10:05:30Z
local.identifier.scopusID2-s2.0-33845777957
CollectionsANU Research Publications

Download

There are no files associated with this item.


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator