Parameter Change Test for Poisson Autoregressive Models

DOI10.1111/SJOS.12088MaRDI QIDQ2932778zbMATH OpenOpenAlexFDO

Authors Jiwon Kang, Sangyeol Lee

Publication date 9 December 2014

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12088

zbMATH Keywords

Poisson autoregressive modelCUSUM testtest for parameter changeinteger-valued GARCH modelmodels of count data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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• The Cusum Test for Parameter Change in Time Series Models
• The monte carlo newton-raphson algorithm
• Time Series Models Based on Generalized Linear Models: Some Further Results
• Time series of count data: Modeling, estimation and diagnostics

Cited in

(57)

• Piecewise autoregression for general integer-valued time series
• Modeling and inferences for bivariate signed integer-valued autoregressive models
• A general procedure for change-point detection in multivariate time series
• Mean targeting estimation for integer-valued time series with application to change point test
• Parameter change tests for ARMA-GARCH models
• Test for conditional Poissonity in integer-valued conditional autoregressive models
• Bayesian multiple change-points detection in autocorrelated binary process with application to COVID-19 infection pattern
• SPC methods for time-dependent processes of counts—A literature review
• Estimation and testing for a Poisson autoregressive model
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• A robust approach for testing parameter change in Poisson autoregressive models
• On residual CUSUM statistic for PINAR(1) model in statistical design and diagnostic of control chart
• Minimum density power divergence estimator for Poisson autoregressive models

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