Diagnostics for autocorrelated regression models

被引：11

作者：

Kim, SK ^{[1
]}

Huggins, R

机构：

[1] Kangnung Natl Univ, Dept Stat, Kangnung, South Korea

[2] La Trobe Univ, Sch Stat, Bundoora, Vic 3083, Australia

来源：

AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS | 1998年 / 40卷 / 01期

关键词：

autocorrelation; observed information matrix; direction of maximum curvature;

D O I：

10.1111/1467-842X.00007

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper discusses the local influence approach to the linear regression model with AR(1) errors. Diagnostics for the autocorrelation models and for the autocorrelation coefficient only are proposed and developed respectively, when simultaneous perturbations of the response vector are allowed. Furthermore, the direction of maximum curvature of local influence analysis is shown to be exactly the same as that in Tsai & Wu (1992) when only the autocorrelation coefficient is of special interest.

引用

页码：65 / 71

页数：7

共 12 条

[1] MAXIMUM LIKELIHOOD PROCEDURE FOR REGRESSION WITH AUTO-CORRELATED ERRORS [J].