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Journal article

Deletion diagnostics for transformations of time series

Abstract:

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 parametric 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...

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Authors


Anthony C. Atkinson More by this author
Neil Shephard More by this author
A. C. Atkinson More by this author
Journal:
Journal of forecasting
Volume:
15
Publication date:
1996
DOI:
URN:
uuid:ccf23402-088c-48b2-999b-3e09b97712fe
Local pid:
oai:economics.ouls.ox.ac.uk:13888
Language:
English

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