Recent progress in parameter change test for integer-valued time series models (Q2132020)

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Recent progress in parameter change test for integer-valued time series models

scientific article; zbMATH DE number 7514919

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English	Recent progress in parameter change test for integer-valued time series models	scientific article; zbMATH DE number 7514919

Statements

instance of

scholarly article

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title

Recent progress in parameter change test for integer-valued time series models (English)

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Journal of the Korean Statistical Society

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publication date

27 April 2022

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zbMATH Keywords

time series of counts

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INAR models

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INGARCH models

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parameter change test

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CUSUM test

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s42952-020-00102-4

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cites work

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First order autoregressive time series with negative binomial and geometric marginals

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Structural breaks in time series

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Break detection in the covariance structure of multivariate time series models

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Robust and efficient estimation by minimising a density power divergence

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Testing for parameter constancy in GARCH\((p,q)\) models

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Generalized Poisson autoregressive models for time series of counts

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Quasi-likelihood inference for negative binomial time series models

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Q4348180

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A new bivariate integer-valued GARCH model allowing for negative cross-correlation

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Theory and inference for a class of nonlinear models with application to time series of counts

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A negative binomial model for time series of counts

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Testing Parameter Change in General Integer‐Valued Time Series

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On weak dependence conditions for Poisson autoregressions

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Correction to ``On weak dependence conditions for Poisson autoregressions''

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Weak convergence of the sample distribution function when parameters are estimated

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Q4917419

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Integer-Valued GARCH Process

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Some recent progress in count time series

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Poisson autoregression

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Interventions in INGARCH processes

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Interventions in log-linear Poisson autoregression

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Retrospective change detection for binary time series models

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Nonlinear Poisson autoregression

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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Changepoints in times series of counts

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Robust estimation in the normal mixture model

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Change detection in autoregressive time series

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Monitoring changes in the error distribution of autoregressive models based on Fourier methods

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Structural changes in autoregressive models for binary time series

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Tests for time series of counts based on the probability-generating function

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Detection of changes in INAR models

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Change detection in INARCH time series of counts

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Monitoring parameter shift with Poisson integer-valued GARCH models

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Change-Point Analysis Based on Empirical Characteristic Functions of Ranks

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Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

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Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis

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Parameter Change Test for Poisson Autoregressive Models

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A robust approach for testing parameter change in Poisson autoregressive models

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On first-order integer-valued autoregressive process with Katz family innovations

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Monitoring mean shift in INAR(1)s processes based on CLSE-CUSUM procedure

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Test for tail index change in stationary time series with Pareto-type marginal distribution

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Change point test of tail index for autoregressive processes

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Test for tail index constancy of GARCH innovations based on conditional volatility

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On the Cusum test for parameter changes in garch(1,1) Models

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Change point test for dispersion parameter based on discretely observed sample from SDE models

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Parameter change test for nonlinear time series models with GARCH type errors

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Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator

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Parameter change test for zero-inflated generalized Poisson autoregressive models

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Identifiers

zbMATH Open document ID

1485.62124

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Mathematics Subject Classification ID

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10.1007/S42952-020-00102-4

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Sitelinks

Mathematics(1 entry)

mardi Publication:2132020