Parameter change test for periodic integer-valued autoregressive process

DOI10.1080/03610926.2019.1584309MaRDI QIDQ5077230zbMATH OpenOpenAlexWikidataFDO

Authors G.-H. Yu, Songguk Kim

Publication date 18 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1584309

zbMATH Keywords

CUSUM testinteger-valued autoregressive processmultivariate time seriesparameter change

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Testing Parameter Change in General Integer‐Valued Time Series
• Recent progress in parameter change test for integer-valued time series models
• Parameter change test for autoregressive conditional duration models
• Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
• Testing for a change in the parameter values and order of an autoregressive model
• Tests for parameter changes in time series
• scientific article; zbMATH DE number 5926363
• Change point testing for the drift parameters of a periodic mean reversion process

Cites work

• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Discrete analogues of self-decomposability and stability
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• First-order random coefficient integer-valued autoregressive processes
• scientific article; zbMATH DE number 4028514 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Integer-valued autoregressive processes with periodic structure
• On conditional least squares estimation for stochastic processes
• Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
• Random environment integer-valued autoregressive process
• Test for parameter change in stochastic processes based on conditional least-squares estimator
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• The Multivariate Ginar(p) Process

Cited in

(8)

• Recent progress in parameter change test for integer-valued time series models
• Testing Parameter Change in General Integer‐Valued Time Series
• On some periodic INARMA(p,q) models
• Locally asymptotically efficient estimation for parametric PINAR(p) models
• Change-point analysis for binomial autoregressive model with application to price stability counts
• The first-order seasonal integer-valued autoregression process with zero-inflated Poisson innovations; application to integer-valued seasonal data analysis with overdispersion
• On nonrecurrence of nonlinear random time delay autoregressive models under random environment
• Change-points analysis for generalized integer-valued autoregressive model via minimum description length principle

This page was built for publication: Parameter change test for periodic integer-valued autoregressive process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5077230)