Diagnostic Analytics for an Autoregressive Model under the Skew-Normal Distribution
Autoregressive models have played an important role in time series. In this paper, an autoregressive model based on the skew-normal distribution is considered. The estimation of its parameters is carried out by using the expectation–maximization algorithm, whereas the diagnostic analytics are conduc...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-05-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/8/5/693 |
| _version_ | 1797569031494959104 |
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| author | Yonghui Liu Guohua Mao Víctor Leiva Shuangzhe Liu Alejandra Tapia |
| author_facet | Yonghui Liu Guohua Mao Víctor Leiva Shuangzhe Liu Alejandra Tapia |
| author_sort | Yonghui Liu |
| collection | DOAJ |
| description | Autoregressive models have played an important role in time series. In this paper, an autoregressive model based on the skew-normal distribution is considered. The estimation of its parameters is carried out by using the expectation–maximization algorithm, whereas the diagnostic analytics are conducted by means of the local influence method. Normal curvatures for the model under four perturbation schemes are established. Simulation studies are conducted to evaluate the performance of the proposed procedure. In addition, an empirical example involving weekly financial return data are analyzed using the procedure with the proposed diagnostic analytics, which has improved the model fit. |
| first_indexed | 2024-03-10T20:05:11Z |
| format | Article |
| id | doaj.art-29319c14587a47d39d12901dad72da8a |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-10T20:05:11Z |
| publishDate | 2020-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-29319c14587a47d39d12901dad72da8a2023-11-19T23:18:31ZengMDPI AGMathematics2227-73902020-05-018569310.3390/math8050693Diagnostic Analytics for an Autoregressive Model under the Skew-Normal DistributionYonghui Liu0Guohua Mao1Víctor Leiva2Shuangzhe Liu3Alejandra Tapia4School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai 201620, ChinaSchool of Mathematics, Shanghai University of Finance and Economics, Shanghai 200433, ChinaSchool of Industrial Engineering, Pontificia Universidad Católica de Valparaíso, Valparaíso 2362807, ChileFaculty of Science and Technology, University of Canberra, Bruce, ACT 2617, AustraliaSchool of Engineering in Statistics, Universidad Católica del Maule, Talca 3466706, ChileAutoregressive models have played an important role in time series. In this paper, an autoregressive model based on the skew-normal distribution is considered. The estimation of its parameters is carried out by using the expectation–maximization algorithm, whereas the diagnostic analytics are conducted by means of the local influence method. Normal curvatures for the model under four perturbation schemes are established. Simulation studies are conducted to evaluate the performance of the proposed procedure. In addition, an empirical example involving weekly financial return data are analyzed using the procedure with the proposed diagnostic analytics, which has improved the model fit.https://www.mdpi.com/2227-7390/8/5/693AR modelsEM algorithmlocal influence methodmaximum likelihood estimation |
| spellingShingle | Yonghui Liu Guohua Mao Víctor Leiva Shuangzhe Liu Alejandra Tapia Diagnostic Analytics for an Autoregressive Model under the Skew-Normal Distribution Mathematics AR models EM algorithm local influence method maximum likelihood estimation |
| title | Diagnostic Analytics for an Autoregressive Model under the Skew-Normal Distribution |
| title_full | Diagnostic Analytics for an Autoregressive Model under the Skew-Normal Distribution |
| title_fullStr | Diagnostic Analytics for an Autoregressive Model under the Skew-Normal Distribution |
| title_full_unstemmed | Diagnostic Analytics for an Autoregressive Model under the Skew-Normal Distribution |
| title_short | Diagnostic Analytics for an Autoregressive Model under the Skew-Normal Distribution |
| title_sort | diagnostic analytics for an autoregressive model under the skew normal distribution |
| topic | AR models EM algorithm local influence method maximum likelihood estimation |
| url | https://www.mdpi.com/2227-7390/8/5/693 |
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