Browsing by Author "Bondon, Pascal"

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    A class of antipersistent processes
    (WILEY, 2007) Bondon, Pascal; Palma, Wilfredo
    We introduce a class of stationary processes characterized by the behaviour of their infinite moving average parameters. We establish the asymptotic behaviour of the covariance function and the behaviour around zero of the spectral density of these processes, showing their antipersistent character. Then, we discuss the existence of an infinite autoregressive representation for this family of processes, and we present some consequences for fractional autoregressive moving average models.
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    Assessing influence in Gaussian long-memory models
    (ELSEVIER SCIENCE BV, 2008) Palma, Wilfredo; Bondon, Pascal; Tapia, Jose
    A statistical methodology for detecting influential observations in long-memory models is proposed. The identification of these influential points is carried out by case-deletion techniques. In particular, a Kullback-Leibler divergence is considered to measure the effect of a subset of observations on predictors and smoothers. These techniques are illustrated with an analysis of the River Nile data where the proposed methods are compared to other well-known approaches such as the Cook and the Mahalanobis distances. (c) 2008 Elsevier B.V. All rights reserved.