Robust parameter change test for Poisson autoregressive models
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Publication:491688
DOI10.1016/j.spl.2015.04.027zbMath1356.62142OpenAlexW229413884MaRDI QIDQ491688
Publication date: 19 August 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2015.04.027
outliersPoisson autoregressive modelrobust testminimum density power divergence estimatortest for parameter change
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Non-Markovian processes: hypothesis testing (62M07)
Related Items (6)
A robust approach for testing parameter change in Poisson autoregressive models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Test for parameter change in the presence of outliers: the density power divergence-based approach ⋮ A general procedure for change-point detection in multivariate time series ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ SPC methods for time-dependent processes of counts—A literature review
Cites Work
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- Absolute regularity and ergodicity of Poisson count processes
- Minimum density power divergence estimator for Poisson autoregressive models
- Parameter Change Test for Poisson Autoregressive Models
- Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
- Integer-Valued GARCH Process
- Robust and efficient estimation by minimising a density power divergence
- The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
- Interventions in log-linear Poisson autoregression
- Interventions in INGARCH processes
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