Deletion Diagnostics and Transformations for Time Series

Atkinson, A.C.; Shephard, N.G.

Deletion Diagnostics and Transformations for Time Series

Published 1992

Deletion diagnostics are developed for structural time series models. These show the effect of the deletion of individual observations on residuals and on the estimates of regression parameters. The methods are extended to the transformation of time series through regression on a constructed variable. Index plots of the diagnostic quantities are shown to be highly informative.