Recent progress in parameter change test for integer-valued time series models

DOI10.1007/S42952-020-00102-4MaRDI QIDQ2132020zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee, Byungsoo Kim

Publication date 27 April 2022

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s42952-020-00102-4

zbMATH Keywords

CUSUM testINAR modelsINGARCH modelsparameter change testtime series of counts

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• Testing Parameter Change in General Integer‐Valued Time Series
• Test of parameter changes in a class of observation-driven models for count time series
• Parameter change test for periodic integer-valued autoregressive process
• Detection of changes in INAR models

Cites work

• A data-based method for selecting tuning parameters in minimum distance estimators
• A negative binomial integer-valued GARCH model
• A negative binomial model for time series of counts
• A new bivariate integer-valued GARCH model allowing for negative cross-correlation
• A robust approach for testing parameter change in Poisson autoregressive models
• A test for a change in a parameter occurring at an unknown point
• Absolute regularity and ergodicity of Poisson count processes
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• An Introduction to Discrete‐Valued Time Series
• Asymptotic normality and parameter change test for bivariate Poisson INGARCH models
• Break detection in the covariance structure of multivariate time series models
• Change detection in autoregressive time series
• Change detection in INARCH time series of counts
• Change point detection in copula ARMA-GARCH models
• Change point detection in SCOMDY models
• Change point test for dispersion parameter based on discretely observed sample from SDE models
• Change point test of tail index for autoregressive processes
• Change-Point Analysis Based on Empirical Characteristic Functions of Ranks
• Changepoints in times series of counts
• Choosing a robustness tuning parameter
• Constancy test for FARIMA long memory processes
• Correction to ``On weak dependence conditions for Poisson autoregressions
• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator
• Detection of changes in INAR models
• Discrete analogues of self-decomposability and stability
• Dual divergence estimators and tests: robustness results
• First order autoregressive time series with negative binomial and geometric marginals
• First-order integer valued AR processes with zero inflated Poisson innovations
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• First-order random coefficient integer-valued autoregressive processes
• Generalized Poisson autoregressive models for time series of counts
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 1959513 (Why is no real title available?)
• scientific article; zbMATH DE number 1485432 (Why is no real title available?)
• scientific article; zbMATH DE number 6159446 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Inference for multiple change points in time series via likelihood ratio scan statistics
• Integer-Valued GARCH Process
• Interventions in INGARCH processes
• Interventions in log-linear Poisson autoregression
• Location and scale-based CUSUM test with application to autoregressive models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Minimum density power divergence estimator for Poisson autoregressive models
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
• Modified residual CUSUM test for location-scale time series models with heteroscedasticity
• Monitoring changes in the error distribution of autoregressive models based on Fourier methods
• Monitoring mean shift in INAR(1)s processes based on CLSE-CUSUM procedure
• Monitoring parameter shift with Poisson integer-valued GARCH models
• Nonlinear Poisson autoregression
• On causality test for time series of counts based on poisson ingarch models with application to crime and temperature data
• On conditional least squares estimation for stochastic processes
• On first-order integer-valued autoregressive process with Katz family innovations
• On score vector- and residual-based CUSUM tests in ARMA-GARCH models
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• On the Cusum test for parameter changes in garch(1,1) Models
• On weak dependence conditions for Poisson autoregressions
• Parameter change test for autoregressive conditional duration models
• Parameter change test for nonlinear time series models with GARCH type errors
• Parameter Change Test for Poisson Autoregressive Models
• Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
• Parameter change test for zero-inflated generalized Poisson autoregressive models
• Poisson autoregression
• Poisson QMLE of count time series models
• Quasi-likelihood inference for negative binomial time series models
• Residual-based CUSUM of squares test for Poisson integer-valued GARCH models
• Retrospective change detection for binary time series models
• Robust and efficient estimation by minimising a density power divergence
• Robust estimation for general integer-valued time series models
• Robust estimation for zero-inflated poisson autoregressive models based on density power divergence
• Robust estimation in the normal mixture model
• Robust parameter change test for Poisson autoregressive models
• Some recent progress in count time series
• Some recent theory for autoregressive count time series
• SPC methods for time-dependent processes of counts—A literature review
• Structural breaks in time series
• Structural changes in autoregressive models for binary time series
• Test for parameter change in ARMA models with GARCH innovations
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Test for parameter change in stochastic processes based on conditional least-squares estimator
• Test for tail index change in stationary time series with Pareto-type marginal distribution
• Test for tail index constancy of GARCH innovations based on conditional volatility
• Testing for parameter constancy in GARCH(p,q) models
• Testing Parameter Change in General Integer‐Valued Time Series
• Tests for time series of counts based on the probability-generating function
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum Test for Parameter Change in Time Series Models
• Theory and inference for a class of nonlinear models with application to time series of counts
• Thinning operations for modeling time series of counts -- a survey
• Thinning-based models in the analysis of integer-valued time series: a review
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Weak convergence of the sample distribution function when parameters are estimated
• Zero-inflated Poisson and negative binomial integer-valued GARCH models

Cited in

(11)

• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• Testing Parameter Change in General Integer‐Valued Time Series
• Parameter change test for periodic integer-valued autoregressive process
• Monitoring parameter change for bivariate time series models of counts
• Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test
• Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence
• Change-point analysis for binomial autoregressive model with application to price stability counts
• A co-segmentation algorithm to predict emotional stress from passively sensed mHealth data
• Modeling and inferences for bivariate signed integer-valued autoregressive models
• Modeling and inferences for bounded multivariate time series of counts
• Tests for changes in count time series models with exogenous covariates

This page was built for publication: Recent progress in parameter change test for integer-valued time series models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2132020)