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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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Publisher:
John Wiley & Sons, Ltd.
Journal:
Journal of forecasting
Volume:
15
Publication date:
1996-01-01
DOI:
ISSN:
0277-6693
Language:
English
UUID:
uuid:ccf23402-088c-48b2-999b-3e09b97712fe
Local pid:
oai:economics.ouls.ox.ac.uk:13888
Deposit date:
2011-08-15

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