Deletion diagnostics for transformations of time series

✍ Scribed by A. C. Atkinson; Neil Shephard

• Publisher: John Wiley and Sons
• Year: 1996
• Tongue: English
• Weight: 917 KB
• Volume: 15
• Category: Article
• ISSN: 0277-6693
• DOI: 10.1002/(sici)1099-131x(199601)15:1<1::aid-for601>3.0.co;2-6

✦ Synopsis

Deletion diagnostics are derived for the effect of individual observations on the estimated transformation of a time series. The paper uses the modified power transformation of Box and Cox to provide a paramemc family of transformations. Inference about the transformation parameter is made through regression on a constructed variable. The effect of deletion of observations on residuals and on the estimate of the regression parameter are obtained. Index plots of the diagnostic quantities are shown to be highly informative. Structural time series modelling is used, so that the results readily extend to inference about regression on other explanatory variables.