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Author  |
Palma, W.; Bondon, P.; Tapia, J. |
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Title |
Assessing influence in Gaussian long-memory models |
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Year |
2008 |
Publication |
Computational Statistics & Data Analysis |
Abbreviated Journal |
Comput. Stat. Data Anal. |
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Volume |
52 |
Issue |
9 |
Pages |
4487-4501 |
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Abstract |
A statistical methodology for detecting influential observations in long-memory models is proposed. The identification of these influential points is carried out by case-deletion techniques. In particular, a Kullback-Leibler divergence is considered to measure the effect of a subset of observations on predictors and smoothers. These techniques are illustrated with an analysis of the River Nile data where the proposed methods are compared to other well-known approaches such as the Cook and the Mahalanobis distances. (c) 2008 Elsevier B.V. All rights reserved. |
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Address |
[Bondon, Pascal] Univ Paris 11, CNRS, UMR 8506, F-91192 Gif Sur Yvette, France, Email: bondon@lss.supelec.fr |
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Publisher |
Elsevier Science Bv |
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Language |
English |
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Edition |
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ISSN |
0167-9473 |
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Notes |
WOS:000257014000023 |
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Call Number |
UAI @ eduardo.moreno @ |
Serial |
40 |
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