CUSUM test for general nonlinear integer-valued GARCH models: comparison study (Q2330525)

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English	CUSUM test for general nonlinear integer-valued GARCH models: comparison study	scientific article

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scholarly article

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title

CUSUM test for general nonlinear integer-valued GARCH models: comparison study (English)

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Annals of the Institute of Statistical Mathematics

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publication date

22 October 2019

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zbMATH Keywords

time series of counts

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exponential family

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autoregressive models

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parameter change test

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CUSUM test

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comparison of tests

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10463-018-0676-7

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cites work

First order autoregressive time series with negative binomial and geometric marginals

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An integer-valued <i>p</i>th-order autoregressive structure (INAR(<i>p</i>)) process

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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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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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Integer-Valued GARCH Process

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Interventions in INGARCH processes

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Interventions in log-linear Poisson autoregression

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Poisson Autoregression

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Retrospective change detection for binary time series models

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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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Structural changes in autoregressive models for binary time series

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

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PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS

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The Cusum Test for Parameter Change in Time Series Models

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The Cusum Test for Parameter Change in Regression Models with ARCH Errors

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Parameter change test for zero-inflated generalized Poisson autoregressive models

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Asymptotic normality and parameter change test for bivariate Poisson INGARCH models

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Q4416762

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Absolute regularity and ergodicity of Poisson count processes

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On score vector- and residual-based CUSUM tests in ARMA-GARCH models

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Modified residual CUSUM test for location-scale time series models with heteroscedasticity

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Thinning operations for modeling time series of counts -- a survey

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A negative binomial integer-valued GARCH model

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Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models

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Zero-inflated Poisson and negative binomial integer-valued GARCH models

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Identifiers

zbMATH Open document ID

1431.62396

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Mathematics Subject Classification ID

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10.1007/S10463-018-0676-7

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Sitelinks

Mathematics(1 entry)

mardi Publication:2330525