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Visualizing Influential Observations in Dependent Data

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  • Genton, Mark G.
  • Ruiz-Gazen, Anne

Abstract

We introduce the hair-plot to visualize influential observations in dependent data. It consists of all trajectories of the value of an estimator when each observation is modified in turn by an additive perturbation. We define two measures of influence: the local influence which describes the rate of departure from the original estimate due to a small perturbation of each observation; and the asymptotic influence which indicates the influence on the original estimate of the most extreme contamination for each observation. The cases of estimators defined as quadratic forms or ratios of quadratic forms are investigated in detail. Sample autocovariances, covariograms and variograms belong to the first case. Sample autocorrelations, correlograms, and indices of spatial autocorrelation such as Moran’s I belong to the second case. We illustrate our approach on various datasets from time series analysis and spatial statistics.

Suggested Citation

  • Genton, Mark G. & Ruiz-Gazen, Anne, 2009. "Visualizing Influential Observations in Dependent Data," TSE Working Papers 09-051, Toulouse School of Economics (TSE).
    • Handle: RePEc:tse:wpaper:22176
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    References listed on IDEAS

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    1. Hillier, Grant & Martellosio, Federico, 2006. "Spatial design matrices and associated quadratic forms: structure and properties," Journal of Multivariate Analysis, Elsevier, vol. 97(1), pages 1-18, January.
    2. Marc G. Genton & André Lucas, 2003. "Comprehensive definitions of breakdown points for independent and dependent observations," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 81-94, February.
    3. Yanyuan Ma & Marc G. Genton, 2000. "Highly Robust Estimation of the Autocovariance Function," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(6), pages 663-684, November.
    4. Gorsich, David J. & Genton, Marc G. & Strang, Gilbert, 2002. "Eigenstructures of Spatial Design Matrices," Journal of Multivariate Analysis, Elsevier, vol. 80(1), pages 138-165, January.
    5. Genton, Marc G., 1999. "The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution," Statistics & Probability Letters, Elsevier, vol. 41(2), pages 131-137, January.
    6. Adelchi Azzalini & Marc G. Genton, 2008. "Robust Likelihood Methods Based on the Skew‐t and Related Distributions," International Statistical Review, International Statistical Institute, vol. 76(1), pages 106-129, April.
    7. Genton M.G. & Ronchetti E., 2003. "Robust Indirect Inference," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 67-76, January.
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    Cited by:

    1. Ronny Vallejos & Felipe Osorio & Diego Mancilla, 2015. "The codispersion map: a graphical tool to visualize the association between two spatial variables," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 69(3), pages 298-314, August.
    2. Li, Hongfei & Calder, Catherine A. & Cressie, Noel, 2012. "One-step estimation of spatial dependence parameters: Properties and extensions of the APLE statistic," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 68-84.
    3. Martínez-Hernández, Israel & Genton, Marc G. & González-Farías, Graciela, 2019. "Robust depth-based estimation of the functional autoregressive model," Computational Statistics & Data Analysis, Elsevier, vol. 131(C), pages 66-79.

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    Keywords

    autocovariance; Moran's I; outlier;
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