Shi, Lei; Rahman, Md. Mostafizur; Gan, Wen; Zhao, Jianhua - In: Journal of Applied Statistics 42 (2015) 2, pp. 428-444
Detection of outliers or influential observations is an important work in statistical modeling, especially for the correlated time series data. In this paper we propose a new procedure to detect patch of influential observations in the generalized autoregressive conditional heteroskedasticity...