Inference for nonstationary time series of counts with application to change-point problems

DOI10.1007/S10463-021-00815-1MaRDI QIDQ2086285zbMATH OpenOpenAlexFDO

Authors Isidore S. Ngongo, William Charky Kengne

Publication date 25 October 2022

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.00934

zbMATH Keywords

time series of countslikelihood estimationweak convergencesequential detectionchange-pointPoisson autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Inference from stochastic processes and prediction (62M20)

Abstract: We consider an integer-valued time series $$ where the models after a time $k^{\ast }$ is Poisson autoregressive with the conditional mean that depends on a parameter $het{a}^{\ast }inThetasubset{R}^d$. The structure of the process before $k^{\ast }$ is unknown;? it could be any other integer-valued time series, that is, the process $Y$ could be nonstationary.? It is established that the maximum likelihood estimator of $het{a}^{\ast }$ computed on the nonstationary observations is consistent and asymptotically normal. Next, we carry out the sequential change-point detection in a large class of Poisson autoregressive models. We propose a monitoring scheme for detecting change in the model. The procedure is based on an updated estimator which is computed without the historical observations. The asymptotic behavior of the detector is studied, in particular, the above result on the inference in a nonstationary setting are applied to prove that the proposed procedure is consistent. A simulation study as well as a real data application are provided.

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• Inference and testing for structural change in general Poisson autoregressive models
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Cited in

(8)

• Piecewise autoregression for general integer-valued time series
• Changepoints in times series of counts
• A communication-efficient, online changepoint detection method for monitoring distributed sensor networks
• Dynamic changepoint detection in count time series: a particle filter approach
• Poisson QMLE for change-point detection in general integer-valued time series models
• Estimating monotonic change in the rate and dependence parameters of INAR(1) process (case study: IP counts data)
• Inference and testing for structural change in general Poisson autoregressive models
• Sequential change-point detection in Poisson autoregressive models

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