Poisson QMLE for change-point detection in general integer-valued time series models
From MaRDI portal
Abstract: We consider together the retrospective and the sequential change-point detection in a general class of integer-valued time series. The conditional mean of the process depends on a parameter which may change over time. We propose procedures which are based on the Poisson quasi-maximum likelihood estimator of the parameter, and where the updated estimator is computed without the historical observations in the sequential framework. For both the retrospective and the sequential detection, the test statistics converge to some distributions obtained from the standard Brownian motion under the null hypothesis of no change and diverge to infinity under the alternative; that is, these procedures are consistent. Some results of simulations as well as real data application are provided.
Recommendations
- Sequential change-point detection in Poisson autoregressive models
- Inference for nonstationary time series of counts with application to change-point problems
- Testing Parameter Change in General Integer‐Valued Time Series
- Changepoints in times series of counts
- Inference and testing for structural change in general Poisson autoregressive models
Cites work
- A Martingale Inequality and the Law of Large Numbers
- A negative binomial integer-valued GARCH model
- A robust approach for testing parameter change in Poisson autoregressive models
- Detecting mean increases in Poisson INAR(1) processes with EWMA control charts
- Detection of abrupt changes: theory and application
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Inference and testing for structural change in general Poisson autoregressive models
- Modeling time series of counts with COM-Poisson INGARCH models
- Modified sequential change point procedures based on estimating functions
- Monitoring procedure for parameter change in causal time series
- Monitoring Structural Change
- Monitoring structural changes with the generalized fluctuation test
- Negative binomial quasi-likelihood inference for general integer-valued time series models
- On the use of estimating functions in monitoring time series for change points
- Parameter Change Test for Poisson Autoregressive Models
- Piecewise autoregression for general integer-valued time series
- Poisson autoregression
- Poisson QMLE of count time series models
- Score test for parameter change in Poisson autoregressive models
- Testing Parameter Change in General Integer‐Valued Time Series
- The Cusum Test for Parameter Change in Time Series Models
- Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
- Weighted empirical and quantile processes
Cited in
(10)- Detecting the number of change points in a Poisson sequence: A comparative study
- Inference for nonstationary time series of counts with application to change-point problems
- Sequential change-point detection in Poisson autoregressive models
- Dynamic changepoint detection in count time series: a particle filter approach
- A general procedure for change-point detection in multivariate time series
- Epidemic change-point detection in general integer-valued time series
- A co-segmentation algorithm to predict emotional stress from passively sensed mHealth data
- Density power divergence estimator for general integer-valued time series with exogenous covariates
- Change-points analysis for generalized integer-valued autoregressive model via minimum description length principle
- Tests for a structural break for nonnegative integer-valued time series
This page was built for publication: Poisson QMLE for change-point detection in general integer-valued time series models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2121429)
