Monitoring parameter shift with Poisson integer-valued GARCH models

DOI10.1080/00949655.2017.1284848OpenAlexW2584530951MaRDI QIDQ5106885FDOQ5106885

Hanwool Kim, Sangyeol Lee, Jaewon Huh

Publication date: 22 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2017.1284848

zbMATH Keywords

time series of countsstatistical process controlfalse alarm ratelikelihood ratio-based control chartscore function-based CUSUM chartZIP INGARCH model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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Cited In (5)

• Recent progress in parameter change test for integer-valued time series models
• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• Monitoring parameter change for bivariate time series models of counts
• Monitoring parameter change for time series models with conditional heteroscedasticity
• On residual CUSUM statistic for PINAR(1) model in statistical design and diagnostic of control chart

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