A score test for detecting extreme values in a vector autoregressive model-Reference-Cited by-同舟云学术

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A score test for detecting extreme values in a vector autoregressive model

Published:2023-05-07 Issue:15 Volume:93 Page:2751-2779
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Liu Yonghui¹,Wang Jing²^ORCID,Shi Dawei¹,Leiva Víctor³^ORCID,Liu Shuangzhe⁴^ORCID

Affiliation:

1. Shanghai University of International Business and Economics, Shanghai, People's Republic of China

2. Shanghai University of Finance and Economics, Shanghai, People's Republic of China

3. School of Industrial Engineering, Pontificia Universidad Católica de Valparaíso, Valparaiso, Chile

4. Faculty of Science and Technology, University of Canberra, Canberra, Australia

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/00949655.2023.2205647

Reference40 articles.

1. Bayesian Local Influence for Spatial Autoregressive Models with Heteroscedasticity

2. Adjustment models for multivariate geodetic time series with vector-autoregressive errors

3. A new BISARMA time series model for forecasting mortality using weather and particulate matter data

4. Time Series Analysis Using SAS Enterprise Guide

5. Influence diagnostics in a vector autoregressive model

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