Monitoring parameter shift with Poisson integer-valued GARCH models

DOI10.1080/00949655.2017.1284848MaRDI QIDQ5106885zbMATH OpenOpenAlexFDO

Authors Jaewon Huh, Hanwool Kim, Sangyeol Lee

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

(6)

• Monitoring of zero-inflated COM-Poisson processes
• 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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