Sequential change-point detection in Poisson autoregressive models

zbMATH Open1343.62062MaRDI QIDQ2803789FDOQ2803789

Authors: William Kengne 

Publication date: 2 May 2016

Published in: Journal de la Société Française de Statistique (Search for Journal in Brave)

Full work available at URL: http://journal-sfds.fr/article/view/482/

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zbMATH Keywords

time series of countslikelihood estimationsequential detectionchange-pointPoisson autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Sequential estimation (62L12)

Cited In (12)

• Filtering and change point estimation for hidden Markov-modulated Poisson processes
• Detection of change-points in a noisy autoregression process
• Poisson QMLE for change-point detection in general integer-valued time series models
• Change-point model on nonhomogeneous Poisson processes with application in copy number profiling by next-generation DNA sequencing
• Phase I monitoring and change point estimation of autocorrelated Poisson regression profiles
• Sequential change-point detection in time series models based on pairwise likelihood
• Detecting the number of change points in a Poisson sequence: A comparative study
• Inference and testing for structural change in general Poisson autoregressive models
• Robust parameter change test for Poisson autoregressive models
• A sequential procedure for monitoring the mean of a shot noise process
• Score test for parameter change in Poisson autoregressive models
• Inference for nonstationary time series of counts with application to change-point problems

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