Leave-k-out diagnostics in state-space models

Journal of Time Series Analysis

Volumn 24, Issue 2, 2003, Pages 221-236

  Proietti, Tommaso ^a  

^a UNIVERSITY OF UDINE   (Italy)

Author keywords

Influence; Kalman filter and smoother; Outliers; Structural time series models

Indexed keywords

EID: 0141991808     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00304     Document Type: Article

References (18)

1. ANDERSON, B. D. O. and MOORE, J. B. (1979) Optimal Filtering. Englewood Cliffs, NJ: Prentice-Hall, Inc.
2. ATKINSON, A. C. (1985) Plots, Transformations, and Regression, Oxford Statistical Science Series. Oxford: Oxford University Press.
3. _, KOOPMAN, S. J. and SHEPHARD, N. (1997) Detecting shocks: Outliers and breaks in time series. Journal of Econometrics 80, 387-422.
4. BRUCE, A. G. and MARTIN, R. D. (1989) Leave-k-out diagnostics for time series (with discussion). Journal of the Royal Statistical Society, Series B 51, 363-424.
5. COOK, R. D. and WEISBERG, S. (1982) Residuals and Influence in Regression. London: Chapman and Hall.
6. DE JONG, P. (1988) A cross-validation filter for time series models. Biometrika 75, 594-600.
7. _ (1989) Smoothing and interpolation with the state-space model. Journal of the American Statistical Association 84, 1085-8.
8. _ (1991) The diffuse kalman filter. Annals of Statistics 19, 1073-83.
9. _ and PENZER, J. (1998) Diagonosing shocks in time series. Journal of the American Statistical Association 93, 796-806.
10. HARVEY, A. C. and KOOPMAN, S. J. (1992) Diagnostic checking of unobserved components time series models. Journal of Business and Economic Statistics 10, 377-89.
11. _, _ and PENZER, J. (1998) Messy time series. In Advances in Econometics 13 (eds T.B. Fomby and R.C. Hill). New York: JAI Press, 103-43.
12. HASLETT, J. and HAVES, K. (1998) Residuals for the linear model with general covariance structure. Journal of the Royal Statistical Society, B 60, 201-15.
13. KOHN, R. and ANSLEY, C. F. (1989) A fast algorithm for signal extraction, influence and cross-validation in state-space models. Biometrika 76, 65-79.
14. KOOPMAN, S. J. (1993) Disturbance smoother for state-space models. Biometrika 80, 117-26.
15. PEÑA, D., TIAO, G. C. and TSAY, R. S. (eds) (2001) A Course in Time Series Analysis. New York: Wiley.
16. PROIETTI, T. (1999) Characterising asymmetries in business cycles using smooth transition structural time series models. Studies in Nonlinear Dynamics and Econometrics 3 (3), 141-56.
17. SICHEL, D. E. (1993) Business cycle asymmetry: A deeper look. Economic Inquiry 31, 224-36.
18. TERÄSVIRTA, T. (1998) Modelling economic relationships with smooth transition regression. In Handbook of Applied Economic Statistics (eds, A. Ullah and D. E. A. Giles). New York: Marcel Dekker, 507-52.