Outlier Diagnostics in Time Series Analysis

Cook's likelihood displacement is a convenient measure of the impact of a model perturbation on parameter estimates. A commonly used model perturbation in regression is the deletion of a case , or equation. A natural model perturbation in the time series context is the deletion of an observation , or a group of observations. Diagnostics that measure the impact of individual observations on the time series estimates are explored in this paper. A diagnostic that compares the estimates of the innovation variance with and without a particular observation is studied in detail.