Diagnostics for Linear Models with First-order Autoregressive Symmetrical Errors

摘要：

In this work, we focus on some diagnostics in the linear regression model with first-order autoregressive and symmetrical errors. The symmetrical class includes both light- and heavytailed symmetrical distributions, which offers a more flexible framework for modeling. Maximum likelihood estimates are computed via the Fisher-score method. Score statistic is proposed for testing autocorrelation of the random errors. Local influence diagnostics are also derived for the model under some usual perturbation schemes.

关键词： AR(1) errors diagnostics linear models local influence score test symmetrical distributions

作者: Chun-Zheng Cao

作者单位: College of Math & Physics, Nanjing University of Information Science & Technology,Nanjing 210044,China

会议类型: 国际会议

会议名称: 2010 International Conference on Application of Mathematics and Physics(2010国际数理科学与气象学术研讨会暨2010空间天气学研讨会 AMP2010)

会议地点: 南京

会议语种:英文

页码: 663-666

在线出版日期: 2010-05-08（万方平台首次上网日期，不代表论文的发表时间）